I think it depends on the thickness of the styrene. I've had thick pieces that wouldn't budge with a hair dryer, and other's that turned into wet pasta when faced with a heat gun.
If you have a heat gun, use that. If you don't have one, a standard stove top should work...just be sure to wear oven mits while holding the styrene. Move it back and forth over the heating element until it goes limp.