A couple of ways to do it.
1. Hold the area you want to dent over a candle flame until soft, then use a tool (a spoon, a screwdriver, whatever) to form the "dents." The downside to this technique is that you have to be very careful to get the body just soft enough to be able to "dent" it but not so soft that it starts to deform, or worse yet, melt or catch fire. It's kind of tricky, styrene has a very short "window of opportunity" between "soft" and "total meltdown."
2. A safer way is to heat up a spoon over a candle flame until it's hot, then use the hot spoon to form the dents. Obviously you'll need an oven mitt or something to hold the spoon as you heat it.
3. Another way, and a way that gives you total control but is more labor-intensive, is to cut away the part of the body you want to dent, make a replacement body panel out of thick aluminum sheet (like an aluminum pie tin or roasting pan) or brass sheet and "dent" that piece. It's not easy, it takes a lot of skill to cut away the plastic panel and replace it with an aluminum or brass replacement.