plastic selection help please

I'm looking for a plastic film / sheet material as follows:
thickness: approx. 2 mm / .075" color: black, completely opaque
finish: both sides matte (one side smooth ok)
Now here's the tricky part... I would like to take a flat piece of this film- say 18" x 10" and roll it into a 10" long cylinder with about a 4" diameter. I'd place some type of band around the cylinder to keep it from unrolling. Then I envision placing the cylinder in an oven to very slightly soften the material so that when it cools it will no longer lay flat. It needs to remain flexible after cooling but it must have a 'memory' of the cylinder shape.
A good analogy is how gift-wrapping paper behaves after it is cut from the roll- it will lay flat while you hold and cut it but tends to roll back up into a cylinder when released.
Can anyone suggest an appropriate material or point me in the direction of where I might find an answer?
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Start with a cylinder and cut it open.
John
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