I use plain old cling wrap... though I'm planning on switching to actual shrink wrap because I can't get the cling wrap to shrink tightly without it ripping
Otherwise, if you don't mind a bit of crinkliness (won't affect the soap at all), make sure that your heat gun is on its lowest setting and start it far away from the wrapped soap and bring it in closer until you see it start to shrink. Don't move closer than that with the heat gun. Start on the side that has your open ends and give it a quick shrink (just enough to set the open ends so they don't move). Constantly keep your heat gun moving, and quickly do the sides of the soap, flip the soap over and do the top. It won't be completely done at this point, but just put it aside and work on the next one. When you're done with your first pass on all your soaps, do the same sequence (back, sides, top) again to the covered soaps. I find that if I do this several times over in quick spurts allowing the plastic to cool down in-between, I get less ripping... I also found that it helps if you can wrap the soaps tightly with no wrinkles in the cling wrap to begin with ^_^
Good luck!