I get mine from lowes, I like the way the stuff from home depot carves better, but when I show unfinished pieces to people they just can't get past the whole "It's Pink, why is it pink, did you notice that it's pink, the real one isn't pink" I've gotten that enough times that I now no longer buy the pink stuff.
Before you put this stuff on your band saw be sure your table is square. Get yourself a few needle files and a nice small metal file (using a metal file when possible instead of sand paper will cut down on dust) , a few cheap long retractable razor knives and a felt tip marker to keep your center line. If you loose your center line you could end up in a big mess.
Practice pulling the retractable razor knife through the foam at an angle less than 45 degrees. this will give you nice clean cuts that need little sanding or filling. Working is this medium is not for everyone so take some time to feel it out. The two inch thick stuff is cheap enough to wast some in order to get a feel for, or decide you hate it and never want to touch it again.
I'm sharing pictures of what I did yesterday ! Ask question if you get stuck or just would like another pespective.
I did this in less than six hours, I could have gone faster but I needed to keep checking my calipers and the picture. If you are doing an original piece you don't have to keep checking your measurements. This is the fastest way to make something I know of. Have fun with this stuff and please share pictures of what you make.
There was a bunch of very cool foam sculpture websites I had found about a year ago by doing a google search, and I wanted to share them but I can find them now.