To the best of my knowledge (and it's VERY possible that I'm wrong!) I was the first to try using HDPE sheeting as a stand-alone bulk sheath material (as opposed to as molded sheaths, liners, and so on) so you won't find a ton out there about working it, but I'm happy to share tips and tricks I've found in my own use of the material. In most cases you can think of it as being like a hybrid of leather and Kydex. It's about as flexible as stiff leather, and extremely tough and cut-resistant. It can thermoform, but I don't have a full set of equipment for that like folks with Kydex gear have, so I haven't played around with it too much. Also, because HDPE is a simple hydrocarbon polymer it doesn't risk emitting any significant fumes, and is related to paraffin wax, which is why it smells like crayons when heated up to working temperature (I heat up my scraps and compress them in a mold to make mallet heads) but it's technically safe to burn, as well, and theoretically only releases CO2 and water when full combustion is reached. Partial combustion doesn't release anything more dangerous than what's naturally found in wood smoke. It will punch and stitch just like leather, though more force is generally needed to do so. Because of its high cut resistance, no welt is needed if rivet fasteners are used, much like with Kydex. It also remains tough down into extreme sub-zero temperatures. Adhesives of most kinds won't work on it, due to its low surface energy, and it's chemical-resistant and food-safe, which is why it's so commonly used for food, adhesive, and chemical containers.
