Balsa is much easier to bend/form if you get it wet first.  A simple spray bottle can accomplish this task.

For what it's worth, many feel that you can get even more flexibility out of the sheetiing by adding something to the water.  Lots of folks suggest ammonia.  Personally, I've found that a bit of bleach seems to help.  Though I've never 'researched" it, i suspect nearly anything that helps break down the water's surface tension helps.

Finally, don't try to bend the balsa too much perpendicular to the grain.  It won't go far that way before breaking.  bending along the grain (parallel) you can achieve some pretty dramatic shapes with some patience and practice.