P4r4dox86 said:
Have you looked at camping mats/floor matting in your local area? Camp shops, or Kmart (Walmart over there I think)? It's all the same stuff generally and you can get it cheaper a lot of the time rather than buying the foam from specialty stores. I've found 5mm EVA foam camping mats here in Australia, so I'm assuming there would be similar stuff over your way.
As for Loki's staff, there was a build somewhere in here by someone who made a fantastic version of that out of foam and then cast it. Just check back a few pages. It had "Loki's staff" in the thread title.