I'm going to blow away the secret here and point out that BJB 265 foam is the foam that Monsterroom was mentioning in his tutorial. Meanwhile, Hez said here that he uses FlexFoam-iT! 3. Both of those are two-part urethane foams.
Actually, I'm kind of surprised to read that. I thought that people were making dreads from something like The Monster Makers Foam Latex System, which has many separate ingredients. There's the latex foam base, curing agent, foaming agent, a gelling agent, and Hugo Weaving as Agent Smith. (OK, not him, but all the other components are there.) All of these components need to be weighed out very accurately. Then, you need to mix the components at specific speeds for a specific amount of time, fill the molds, bake the latex foam at a very specific temperature, and then hope that everything came out OK. Just reading those instructions scared me away from the idea of doing my own dreads, so I bought a set from Hez.
Is it fairly easy to work with flexible urethane foam, or is the process still pretty tricky?
I switched from the flexfoam-it to kryolan. The kryolan has less issues.
The 2 part polyurethane foams are a lot easier to work with than foam latex, which is, from what I understand, tricky stuff even for professionals. The flexfoam-it is a simple mix by volume, 2:1 ratio. However, in my experience it is affected by temperature, humidity, and mixing time. If any one of those 3 aren't right, the foam will collapse.
The kryolan is better, although all 3 things mentioned above can still ruin your foam. The tolerances are simply greater. It also needs to be measured out precisely by weight, at roughly a 65:35 ratio. Varying the mix will produce softer or stiffer dreads, or go too far either way and you will simply get a sticky gooey mess that you need to clean out of your mold.
The mold needs consideration too...silicone works, but will eventually decay, and is expensive to replace. Ultracal works, but needs sealing and constant release agent application, or the foam will stick to the mold. Seam lines can be tricky with the ultracal molds too.
All in all, there is an excellent reason why not many people do these. It's because they're a pain in the ass, and to make a set for yourself, you will probably spend more than if you were to just buy a set, and in my opinion you don't get any of the satisfaction of say, sculpting a bio or mask. They're just dreads.