I tried constructing a custom balloon out of the Mylar film (from the emergency blanket). The method is

• cutout the shape
• heat seal a seam

To seal the seam, I used a piece of aluminium foil as an intermediate layer between the tip of a soldering iron and the plastic at a set temperature of 360-380C. This partially worked, except

• small holes develop at the interior seam edge (too hot?)
• the seams are not very robust mechanically (while inflating the balloon with a straw, slight over-pressure causes the seam to fail)
• it's very tedious

More investigation is required.