Interpolation and point density visualizations are two very different things.
If you would like help doing point density visualization, provide your data set so somebody could provide some examples.
One possible approach is very simple:
1. create a grid of areas that covers the region of interest where each grid square (or hexagon, if you want to be stylish) covers a reasonable number of data points in regions where they are more prevalent. (There's a nice hexagonal tiling routine that's been published on the forum.)
2. using overlays, count the number of points that occurs in each grid square and put that number in the grid square.
3. Color the grid squares by the number of points in each and you have a simple density map. For a prettier map, create contours using the number of points in each grid square as the "height", or do an interpolation on the grid squares using the count of points in each. That gives you a map of density.