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That sounds like it might be the way to go.
Again with the motorbike refrencing... but they often use sandbags to help limit the movement on the back as they hit the metal, and allow the metal to stretch with the blow and make a smaller, more controlled bends/curves.

Not necessarily saying buy a specialist sandbag, but again thinking about the principle - if you can put something solid with some give behind it or make your own temporary mini sandbag - then it should help reduce deformation.
I think.
kvragu
hugo7
No experience of denting mudguards, but logically to me the problem is if you dent them without stretching the metal. That is what would pull the side on profile out of shape.
If you look at say how fabricators make motorcycle mudguards on an English wheel, you can see they're stretching the metal when making their curves.
My guess is what you want to do is make sure you're stretching the metal when you make your indents rather than only bending.
I'm sure someone else will know better, but I'd guess the way to do this is securing the 'gaurd and using some sort of metal form and vice - a bit like making dimples on chainstays.