How To Cut Plastic Lumber:

You can use any standard wood and metal cutting saw with good results. In general,  wider tooth spacing (less teeth per inch) works better since there is less heat build up with power tools. The same rule applies when you use hand-saws. The  issue here is not so much heat build up - but saved elbow grease.
Band saws, table saws, radial saws, reciprocating saws all provide good results. For fast turning wood cutting saws, carbide tipped blades are certainly an improvement and will result in longer blade life as well as clean, crisp cuts. Should you  encounter plastic build up on the sides of your blade reduce the feed rate.  Very accurate parts can be produced by means of laser and water jet cutting.
Please note: Be careful when you cut any plastic lumber material to length.

Let me illustrate :

Imagine a warm summer day. It's about lunchtime and Joe is getting ready to  install Maxituf plastic lumber boards on his new deck. All that is left to do  before the actual installation begins is cutting the boards to length. So he  walks over to his stack of plastic lumber, picks up a board from the top, which  feels pleasantly warm to the hand, marks and cuts it. He notices that the boards  in the next layer of the stack are considerably cooler than the ones from top  layer. Later in the afternoon, as the day grows cooler he discovers, much to his dismay, that he has four boards that are 3/16 of an inch shorter than the rest.

What happened?
The four top boards of his stack had been sitting in the hot sunlight and therefore  expanded more in length than the remaining boards in the stack. Hence, when the temperature dropped - they shrank and now were too short. After consulting the installation notes provided by the manufacturer, Joe found out, that he should have done two things. First move the boards into the shade or cover them with a tarp to ensure consistent temperature throughout the stack and secondly  read the installation notes before installing the product.

Can Plastic Lumber Be Machined?

Yes - you can turn, mill, ream, shape, route, plane, drill and sand it; and  you can even tap it. Best results are obtained, as in all machining operations,  if your tooling is sharp. Start with slow feed rates and work your way up to  an optimum.

A few pointers:

Turning: Both high speed and carbide tipped tools work well. Negative back rake  is recommended. Make sure that your work piece is at ambient temperature before you make your final cut.

Milling: Works best with two-fluted end mills (chip clearance).

Drilling: All drilling devices work very well. Again start with lower feed rates  and work your way up.

Taping: Back off your tap frequently to remove chips.

In general, you will be amazed how nice and easy Maxituf machines. On the other  hand, if the feed rate is too high or the cutter geometry is not quite right you might find yourself fighting long, stringy shavings, especially on the lathe. Maxituf is great for mockup pieces (to verify the path of CNC equipment) or  many little shop projects you may have. A piece of 3x6" with appropriate  holes drilled in it makes a great organizer for all your drills, end mills, tool bits etc. Maxituf is resistant to fuels, cutting fluids and most other  shop chemicals. But best of all - you get a good chunk of material for very  little money and it will not mar the ways of your lathe or milling machine table.

Plastic Lumber Assembly Methods:

An outstanding feature of 100% HDPE plastic lumber is that it can be welded.  Not only to itself but also to other HDPE products including pipe sheet etc.  and the bond will be as strong as the board. This allows you to fabricate just  about anything one can think of. The principle of welding thermoplastics (Maxituf  falls into this category) has been around for quite some time. All you need is a plastic welder and welding rod. Plastic welders come in different levels of sophistication from simple "hot air guns" to fully automated "mini extruders". Welding rods can be bought commercially or can be cut from the plastic lumber. In the latter case color matching is a cinch.

Bolts can be used in the same manner as with wood. Screws are extensively used and provide  excellent results, but pre-drilling is a must. Don't try to cut corners here  - you will regret it. To find the correct drill size for this operation, measure  the root diameter of the screw you intend to use, then select a drill with the  same diameter. Square drive screws are preferred over Phillips type. A tiny drop of mineral oil applied to the screw (especially long ones) will greatly reduce friction and your effort. Drill motors equipped with variable speed control work well. For bigger projects consider investing in a screw-gun, it will speed up your work considerably. Plan to counter sink if you like the fruits of your  labor to be pleasing to the eye. Last but not least don't buy cheap drive bits - they will definitely ruin screw heads and your mood.

Currently there is no glue available that can assure a bond as strong as Maxituf itself. Various Epoxy glues, contact cement and hot glue can be used to produce  a "moderate" bond. The fact that HDPE is highly resistant to chemicals and solvents does not make it a good candidate for the gluing process. If you intend  to glue pieces of Maxituf together abrade both surfaces; it will improve the  bond.

Additional Plastic Lumber Info:

Detailed information concerning Plastic Lumbers Capabilities and Limitations. More information on the Chemical Resistant Properties of Plastic Lumber.