Will Morgan of WM Armory has posted a pretty comprehensive collection of tips for crafting costumes and props from EVA foam.
Anyone considering a live action game should take a look at his techniques. No matter what genre you're playing in foamcrafting is an ideal method for making costumes and props. The materials and tools are inexpensive and easy to obtain. With his tutorials and a little patience anyone can craft useful items. With a little experience you can go beyond that and create some truly incredible props, like this fusion rifle from "Destiny".