Simon,
I've never done machine guns for a Catalina, but I have formed PE for armor, so maybe I can offer a little advice--such as it is...
Sounds like the perforated portion you are referring to is the cooling jacket surrounding the barrel. Haven't seen the set, but you may have to use either the existing plastic piece or some sort of equivalent (recommend brass or aluminum) tubing for the gun barrels.
Prior to cutting the PE from the tree, hold a candle under the part until it almost turns red. This will anneal the part, and make it much easier to form. BE CAREFUL--It won't take but just a brief period (several seconds) to get hot. If it gets too hot, it may melt and burn up (been there; done that; have the t-shirt).
After it has cooled for a little while, remove the metal from the tree and remove any sprue stubs with a little sandpaper or a file.
Next, find a small piece of tubing, pin, nail, etc. that is just larger than the outside diameter of the gun barrel (You can probably get away with using the barrel.). Use this as your form, and carefully roll the piece around the form. Annealing the part will make it so it doesn't fold or bend on you. Once rounded, approximate the ends together and join with a dab of super glue. Then slide it over the barrel and secure it to the receiver with a little super glue and VOILA!
There are probably better techniques from some of the aircraft experts out there, but this works for me.
Hope this helps some.
Gip Winecoff