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Costume foam

I am make a cosplay costume and it's VERY large and it requires a foam I have been looking all over trying to find anything about it.

http://www.youtube.com/watch?v=4NsQLq7EMkk

At the 3 minute mark it shows this man making a Halo Elite costume leg, as you might have noticed the foam is ridged but flexible, also it's large. Where can I buy foam like that? I am assuming I can't buy it in such a massive size and that I would have to glue layers of it together, but if you know where I could buy it in a massive size that would be great too. 

Final part what would be the best way to cut the foam it looks like that man is using a turkey carver any other ways? Thanks to all those that can help me!