See Miyong's resources list for information on where to purchase materials for sculting and foam.
Is something else that I was introduced to which I've made several costumes with. It is another awesome material to make a headpiece with. When you heat up fosshape (with an iron or steamer or heat gun) it will keep it's shape. It shrinks slightly when you heat it up. It is really amazing stuff - it reminds me a lot of felt. I think this is the cheapest place I have found it and it is in the city, yea!! http://www.sculpt.com/