In the latest Recomendo, Kevin Kelly wrote:

Foam core is super versatile making stuff. Together with hot glue you can make almost anything – doll houses, organizers, quick prototypes, kid’s constructions, models, displays, etc. The boards can be expensive at stationary stores. The cheapest source of foam board I know about are 20 x 30 x 3/16 inch sheets from the Dollar Tree store, at $1.25 per board. They are thin but sufficient and cheap.

Dollar Tree foam board sheets are especially coveted by tabletop gamers, dungeon crafters, diorama builders, “foamies” (foam plane builders), and other hobby crafters because the paper is so easily peeled away from the foam. All you have to do is spritz with alcohol and the paper comes right off, leaving you with a 3/16″ sheet of foam to work with.

In this video on DutchRC Adventures they show how to make curved shapes with the foam.