I just finished my heatshield yesterday. I went to Lowe'* (or Home Depot), and got a sheet of lexan. I also bought some small brakets to hold it all together.
The way I did mine is measured for the bottom, back, and top then did the sides.
Once you get the back cut to the length and width you need ,turn the filter over so the part thats got the hose clamp is facing up, lay the lexan on top and mark for the hole for the intake tube, and (if you use the K&N RX-4750) mark the IAT location. Then basically just put it all togeter and go mount it.
Oh yeah the K&N is a much better choice for filter than the APC. Like Will said it will hold water.
Hope this helps,
02 Se with a few mods,
Coming Soon 1.9'* OR pushrods and other stuff