yes you can bake it, just make sure to run it at a low heat and keep an eye on it. i've baked/shaped plexi rods to make various bits and it works well you just have to heat it slowly and keep direct radiant heat off of it (set it on a low shelf in the oven). direct heat beating on it will cause it to bubble/turn white.

for a release agent the PAM idea isn't bad actually, but i'd do a test piece to make sure it doesn't do something to the surface of the plexi under heat.