Most wraps are thin, thin material conforms to complex curves better, such as car/truck bumpers, fenders on an HHR or PT Cruiser. Thicker materials will lay down easier, but might not conform to tight curves or body creases. You must use heat when going over a tight curve or body line, if not the vinyl will try to go back flat (vinyl has a memory of sorts which is to lay flat).
Good quality vinyls will not crack when cold, wrap vinyl's are designed to be stretched a little bit, (stretch it too far and the printed image will discolor or distort) that's how you get it to lay smooth on uneven surfaces, but heat must be used. We use a torch for most of our heating needs, I'll switch to a heat gun if I have to warm up a larger area at one time. The torch heats up the vinyl faster than a heat gun.
If you are applying more than one section of a wrap and the design continues across the seam, the seam must overlap (all vinyl strip over time) and you should start to squeegee in the same area of the panel as you did on the first one as the vinyl will stretch. The goal is to stretch the second panel the same amount as the first so the design will line up.
Derek