Kelli, heat guns are like every other tool, they are great for doing what they are meant for. Heat guns are great for taking off exterior paint, softening many glues and adhesives, etc. They are irreplaceable for some work with epoxy as they really make a new surface smooth and for tightening shrink wrap.
But taking paint off interior moldings is not something I would do. The reason is not that they will not soften the paint or other finish, they will. The reason is that the tools you use to scrape off the softened paint will scratch the moldings. When you try to sand out the scratches, you will lose the crisp corners and details of the moldings and a good stain/clear finish will be next to impossible.
The other problem is lead. You have to assume that any paint over 20 years old has lead in it. Lead is not a problem as long as it remains firmly attached. It is a problem when it gets scraped and turns into dust particles, which are then free to float in the air. They can then go in your lungs, land on food, or your "rug rat" might gnaw them off directly or put anything that has the dust particles into his/her mouth. Even opening and closing double hung windows that have lead paint can scrape off the particles.
So the answer for interior paint/finish removal is chemical strippers. For "clear" finishes and paint less than 20 years old (at the bottom layers), I like Citristrip and for multiple layers more than 20 years old, I like Peel Away. The chemical strippers keep the lead tied up in their liquid "gunk" so it is not a problem and you dispose of the lead with the cloth you put over the Peel Away. Citristrip has an orange-like smell and is a lot more pleasant to use and safer than the strippers that use methyl cloride as the active ingredient. Henry