More specific questions would be good as it would give us somewhere to start when giving tips. I haven't worked with foam much myself yet, but from what I have done with it I would imagine starting with a larger piece would be easier for more people. Yes you run the risk of wasting more material if you mess it up, but at the end of the day foam building is relatively cheap compared to other methods so it's not going to completely break the bank.
Being that Thor's chest plate is fairly straight forward laying of basic shapes I would imagine that would be a better starting point than a gauntlet. It would allow you to get a bit of experience cutting/gluing/moulding foam without any fiddly little angles etc.
The most important thing you will learn about any sort of costuming, be it sewing, pepakura, working with fibreglass, bondo or foam, or any other of a million different crafty thing is that it doesn't hurt to make mistakes (Unless you're burning your fingers, which we've ALL done at one time or another when dealing with hot things
) and that is how you learn. Just take it slow and keep puttering along and you'll eventually build up your skillset enough that you will wonder how you ever questioned you abilities in the first place.
If you have more specific questions first use the search function to look for some info here, there's stuff about almost everything, and failing that ask in your thread, but make it specific.
Good luck!