Well, I just did a bunch of wire sleeving yesterday. I don't have a heat gun either and didn't feel like spending $50 on one, like you.
But, I did find something at the mall in a Kitchens store. It's a butane torch for chefs. Used to melt sugar on Creme Brule. It cost me $12.99 + a can of butane.
It works really, really well. You have to turn the flame down a lot and you have to keep the flame moving. Too much heat and you'll instantly melt the sleeving. Which only happened once to me. Overall I think it's a nice addition to a DIY'ers toolbox.
This is the one I got, although not from this site.