German said:
Definitely works. They have been using it as an alternative to resin for pepakura over at the 405th for a while. You can make big batches up of it with a pan(not used for food) on the stove or a portable heating element. I know I have seen little, dedicated pots for melting hot glue sticks for floral stuff at Michael's.
I think the biggest issue with using it on foam is getting an even coverage. Hot glue will run but it still cools pretty quickly. The glue could also heat the foam up too much and cause the foam to want to flatten or sag if you were adding it to a curved surface.