Extruded Polystyrene

Here in the States, this type of foam is normally found in home improvement stores or hardware outlets. Retailers such as Home Depot or Lowe's normally stock it in large sheets (4x8),  but you can occasionally find smaller squares intended for patch repairs on the shelves.

I may have to go back to the local hardware stores and look again. When I originally looked they only stocked the expanded foam that breaks into small balls when cut. That stuff seems useless. Lowe's used to stock the blue dow styrofoam but have recently stopped. 

Yes it's expensive too. I scrounge construction sites. The pink stuff is ok too.

I found a place in NYC that has what I was looking for. Thanks for the replies!

http://shop.sculpt.com