^ Concur 100%. Never use direct heat.
You want to get a large pyrex measuring cup or bowl. And then fill it halfway with very hot, almost boiling water. then you want to gently suspend your part (maybe make a hook out of bent wires) and lower it into the water. The part should have an inherent natural straightness to it. The heat should allow it to expand/bend back to its natural shape. As your part is in the water, see if it doesn't naturally warp back to a more normal shape. If so, pull it out and immediately lower it in another container of cold water (this cools it and locks it into shape).
However, the part may have just been pulled out of its original mold too early. If so, then you have 3 options. 1) Ask for a replacement from Hobby Fan -- they may surprise you. 2) Dip it in the hot water to soften it and then pull it out and try to gently nudge it into shape. 3) The other option is to scratchbuild a replacement part. If it's a circle, I think scratchbuilding is the way to go. Good luck to you.
Here's some discussion on how to straighten a warped hull
http://www.track-link.net/forum/modelling_construction/10416