Why not replace the foam with a well-knit cover made from good yarn? Here's how.
NOTE: this Instructable assumes that you have a basic knowledge of knitting techniques: casting on, knit, purl, and increasing. If you don't, I recommend you spend some time perusing the Yarn section of Instructables, check out some knitting books from your library, or find some like-minded folks to help you get started.
Step 1: Materials
Yarn - the finest you can get. I used some fingering lambswool I recycled from a thrift store sweater (Great info on recycling sweaters is available here). It's okay to use pure wool, since this won't ever get washed. Sock yarn would be great.
Knitting Needles - smaller is better! I used my finest double-pointed set from KnitPicks: 2mm in diameter. You'll need four needles.
Sewing Needle (pictured at Step 5). This project has to be stitched shut, so a good needle is essential. Try to find a thin one with a blunt point and large eye, usually sold as "tapestry" needles.
Crochet Hook (optional, pictured at Step 3). With such small yarn and a tiny first loop, a good small hook can be helpful for casting on.