[update 2015-12-04]
Found myself an inexpensive Hamilton Beach Sandwich Maker and started experimenting with melting HDPE. Check posts starting from #11 onwards in the discussions for details.
In a now not so recent discussion thread here at OB some were talking about making their own "engineering wax" - wax laced...
How to recycle HDPE (bottles, caps, etc.) into sheets / blocks to CNC 2015-12-04
Some very good Instructables / YouTube showing how to easily recycle HDPE and work with the material