Thermoforming is a term used in plastic engineering to cover a variety of processes.  All thermoforming involves heating a plastic sheet to its pliable plastic state.  Different plastics require a different temperature and length of heating to reach their malleable state.

Once heated the plastic is placed over an existing mould. Moulds can be made of a variety of different materials including MDF, aluminium, epoxy and foam. Then the plastic sheet is pushed or sucked around the mould to form the new shape.  This can be done via air pressure (pressure forming) or vacuum (vacuum forming).

Once the plastic cools it becomes solid again and will hold its new shape.  It can then be removed from the mould and a variety of finishes can be applied if necessary.  These can include different coatings, screen printing, lamination etc.
Thermoforming animation

Vacuum forming Vacuum forming