Although rubber bands seem to never lose their shape or elasticity, you can shrink them by applying heat. Most solid materials expand when they heat up, but rubber bands shrink because the heat makes the rubber molecules move around and lose alignment, which causes them to shrink, according to Vince Calder in "Rubber Bands and Elasticity."
Hook one end of a rubber band on to a coat hanger.
Attach a weight to the other end of the rubber band. Make sure the weight isn't too heavy so it does not break the band.
Use a hair dryer to blow hot air on the rubber band.
Watch the rubber band shrink as the weight is actually being pulled by the rubber band.