Bumping an old thread to add my two cents. I haven't used Kilz but it sounds like a great solution, and somewhat inexpensive.
In my experience, Plasti-Dip will work - even the spray-can stuff, just make sure your first couple coats are very light so the propellant doesn't get at the foam. Plasti-Dip adds a lot of volume and a moderate amount of weight, so it will hide minor imperfections but also obscure any fine detail. You can use just about any paint on top of the Plasti-Dip, including other spray paints. It's somewhat expensive from a spray can.
Strongman weights constructed from blue foam, PVC pipe, and styrofoam:
A few coats of spray-on Plasti-Dip, pardon the terrible picture of my lovely wife who just woke up from a nap on the couch.
After this I sprayed with a cheap flat black to get rid of the powdery look from the bottom of the can of Plastic-Dip, then added numbers with silver sharpie and acrylic. Finished product with our strongwoman, pardon the lousy image quality that's been downloaded from Facebook and re-uploaded to Photobucket.
Lots of visible imperfections still, this was a super quick build, I didn't have time for any proper patching of those scuffs and marks. But as you can see, careful application of the spray-can Plasti-Dip didn't eat the foam.
Latex house paint from the "oops" bin at the hardware store is a good solution too. However, in my experience, even after the paint has dried and cured, your painted parts will stick to other painted parts even after a short time being stored together (a couple hours!), and the paint will peel off when you separate the parts. A happy side effect of this is that you can use the latex paint as a glue of sorts, to glue layers together.
Blue foam "mountains" and thorns for Maleficent's castle for a stage production, five panels that attach with hinges that I made from Sintra, using pencils as hinge pins. The dark gray is the color of the house paint I got; the green and gold are the latex paint then cheap acrylics. The castle is cut from plastic foamcore (not Sintra, I can't remember what it's called) that I scavenged from old retail signage that was headed for a dumpster; paint job on the castle is not complete in this pic.