Heatshrink is a very versatile tubing that has over a thousand and one uses.
There is a variety of ways to shrink heatshrink tubing and the most popular and best way is to use a hot air gun (paint stripping gun) a gas blow torch can also be used but be carful not to burn the tubing.
The side of a soldering iron is aslo used a lot, ideal for small lengths but time consuming for long lengths.
If you dont have any of the above here are some other great ways of shrinking the tubing - the hob ring of a electric/gas cooker will do the job as well as the steam from a boiling kettle (another person will have to keep the on/off button pressed all the time) or even the steam from a wall paper stripper or one of them cleaning steamers.
Laying the tubing in hot water a little below boiling point does a good job too.
A cigarette lighter will work but it does tend to leave a black mark on the tubing which is very difficult to remove, ok if you using black heatshrink i suppose.
All of the above will work and there is probably a few others that i have not mentioned that will work as long as the heat source is above 70 degrees centigrade which is the starting shrinking temperature of the heatshrink that i sell. a good tip is to apply heat evenly over or rotate the job around the heat source.
A domestic hair dryer will not work as they do not get hot enough, they average about 60 degrees centigrade.