If you are engraving plexi to use in a case mod project, it is common practice to use LEDs to add some light to your design, bringing it to life. A useful trick is to engrave to different depths to alter the brightest of the light: if you engrave three lines at different depths, the deepest will shine the brightest. Used appropriately, this technique will produce a feeling of depth and produce highlights to an engraving.
Think of your Dremel like you would a car: while it may be capable of high speeds, the higher the speed the more difficult it is to handle. Maximum control is had at lower speeds: the bit is less likely to skip acros the surface, and you will avoid melting the tyres acrylic/plexi you're working on.