At Monster City Studios, we go through A LOT of 4 lb high density urethane foam. Most of it gets used for theme park molds and sculpture masters. We have many pallets of scrap here at the studio. This stuff is like gold for model builders, diorama builders, and wargamers. It's just awesome to use to make rocks, scenery, buildings, walls, terrain etc. All you need to do is either paint directly on it, or, if its going to be handled, coat it with plaster, epoxy or fiberglass resin.
Since it's urethane, fiberglass resin won't eat it. That's specifically why we use it here at Monster City. It holds excellent detail, but holds up to resins.
It is really dusty, though. It's not like white bead foam or the pink or blue insulation foams. The material that comes off when sanding or carving is like a fine sand. However, it isn't itchy, just annoying. If you can, work with it outside. You CAN NOT cut this with a hot wire, but almost any other tool will cut it. We can't stress this enough. DO NOT try to cut this with a hot knife or a hot wire. The smoke it creates is TOXIC and can make you sick in a matter of seconds. As long is its not heated over 200 degrees, its pretty darned inert.
You'll get a 12"x12"x6" box full. Last time I looked, the big box hobby and craft stores we're selling the same material in a 5"x5"x6" block for $20. That's huge savings. Since this is scrap, you'll get multiple sizes. We'll try to include a few bigger pieces and fill up the empty space in the box with smaller blocks.