the radioshack store heatshrink tubes are the rigid variety which is not very useful. rigid means it's not flexible ;-)
I generally order a whole bunch of them online, most have them in 4' lengths or they cut it from a spool. wide ones will cost you...
Home depot has the non-rigid kind in precut packages (in ~6" lengths of multiple widths).
shrinking them with a blow dryer is fine, set it to the high or something. I did that before i got a heatgun =). make sure you use a high setting, i did some with it set to "regular" and the shrinking was not "maximized." becareful about using a soldering iron or an open flame (lighter etc), some tubing will melt, and some will burn. there are "flame retardent" tubings though.
heatshink tubing is usually 2:1, that is, it shrinks to 1/2 it's diameter. there is a variety that shrinks 3:1, 1/3 it's original diameter. There is also a variety that has adhesive on the inside.
heatshrink tubing should not be mistaken for insulation (covering bare wires), though some are intended for insulation.
--
as for the molex connector, that's quite foolish, i would recommend getting a pin extractor to take out the pins from the connector, and using a flexible tubing (non-heatshink, just regular tubing). tubing wide enough to fit the molex connectors through is about 1" or so, which is quite expensive (relatively speaking).