I just finished making 100 shrinky dink charms with my heat gun. What I did was stick either a sharp pencil or my piercing tool thru the hole that I punched for the jump ring. They worked great for keeping the plastic from flying all over the table, and by putting them thru the hole, they didn't mark up the plastic. If the pencil or piercer got a little stuck after shrinking, I used the back side of a wooden stamp to gently press it off and flatten the charm. These are the kind of charms I made:
Bottle Charms by stamp1 at Splitcoaststampers