Personally, I've found that a Dremel with a flex-shaft works well for rough-shaping the pieces -- followed by careful final shaping with a set of needle-files and some oiled wet/dry sandpaper. Before grinding/filing, I'll often use a carbide scribing pen to etch in the outline of the piece I'm trying to make.
I think that, at the end of the day, it's whatever you're most comfortable with using that provides a safe level of control over both the cutting and the heating of the material.
