I use joint compound (NOT "spackle")... you might know it as "Sheetrock mud"... It won't attack the styrofoam, dries quick, can be spread on very thin, and is sandable and paintable after sealing... You can texture it to make it look like Stucco, Brick, Concrete, or smooth plaster... You can get it in quart-sized buckets for around 6 bucks at just about any hardware store...
The drawback to mudding styrofoam is it's flexability... If the sheet is too big and the mud too thin, it can crack and fall off... One way to help stop that cracking is use smaller sheets, no more than about 6x8 or so, and make sure you scribe the surface of the foam with a knife to give it something to stick to...