People have mentioned doing them at home, and plenty of folks have had good luck with that. As mentioned, pad the toes if you do it. The foam will 'poof' up when you heat it. Without a toe cap your toes might get a little tight in the initial molding.
Another place to watch out when molding them with your oven, is take care not to over cook them, this can shorten the life of your liners, reduce the potential for remolding the liners, and hinder the liner's effectiveness in molding to your foot.
So, if you are a pretty capable person, go ahead with it.
But it takes about 20 minutes in a shop, should not cost any more than $25, and if the shop fucks it all up, its on them, not you. Also allows the guys at the shop to check your fit and ensure you are in the right one.