Ok so I made some slim mudguards for my Mercton last summer; Recipe went something like this:

1) Buy some black PVC pipe - mine was about 2mm thick and maybe 2" round - sink tubing basically.
2) Cut it to a length that will fit diagonally into a domestic oven, and then in half along the length so you have two trough-like mudguard blanks
3) Heat up the oven to something low. I can't remember the temp but it was definitely lower than combustable temperature - something like UK gas mark 2 I think.
4) Put one of the blanks in. I put it on something flat and metallic so it didn't start to fall through the bars
5) When it seemed fully pliable (mine basically went flat and then started to curl up after maybe 10 mins) I pulled it out with some pretty sturdy gardening gloves and stretched it over a de-biked wheel with it's tyre fully inflated. My tyre was slick, but if it's grippy you might want to cover it with foil or something before using it as a forming jig.
6) Smooth the floppy bendy hot plastic over the tyre and keep it stretched with one glove at either end
7) Hold it in place until it's cooled. This is boring and easy to half-as$ but it will go out of shape if you give up too early. 10 mins should be fine - put on some music first
8) You now have your first mudguard blank. Mine was way too snug at the sides, so I put painters tape on it then put both it and the wheel in a truing device. Using a pen it was easy to rotate the wheel, find the centre, and then mark a good place on both sides to trim the guard to the required width, which I then did away from the truing device with a Dremel / Superfine glass paper.
9) Fit to your bike with hardware stolen from other mudguards, or if you're a particular glutton for punishment, with parts you designed in Sketchup and got 3d printed.