Instead of the heat shrink I have used the stretch wrap plastic used for wrapping pallets. You can buy small rolls of the stuff at a good hardware store, at Fed-Ex/Kinkos or at a U-Haul store.
This is a thin stretchy plastic that clings to its self. If you use multiple wraps it provide quite a bit of compression. It doesn't require a heat gun and it's very easy to remove when finished.
I find lots of uses for this product. It's great for clamping odd shaped projects while the glue sets up. I also use it as a protective wrap for off season storage of my tools, for bundling my skis together over the summer, etc.
http://www.officedepot.com/a/product...tch-Wrap-Film/