Urethane resin will soften with heat. Too high a heat and it will burn (like anything else). However, the heat required may be too high for contact with sensitive skin, like your face. We reshape pieces by putting them in the oven at 150 f. max. Some resins get pliable at 120f.
DO NOT SET THE OVEN HIGHER. Ovens do not get hotter, faster when you set them higher.
The heat setting is just an on/off switch, not an accelerator (gas pedal).
The problem with a heat gun, is the heat is much higher than 150, and you can't easily control how hot an area get, and what you are really trying to do is get the whole piece (or area) heated all the way through to the full thickness of the material. A heat gun will heat the surface, and when you move to another area, that surface cools down, while only a small amount of heat soaks in. So if you were incredibly patient, you could use a heat gun, but an oven is far more efficient and effective.