Yep, just that easy. You can buy blue foam (may actually be pink or green, but its mostly the same stuff just different colors) at Home Depot or Lowes in the States... not sure about other countries, though. They usually come in large sheets (for insulating a house) and cost somewhere around $12 for a 6' by 4' sheet.
Working with it is pretty straightforward... you can cut it with an xacto, sand it smooth and paint it. Also, a hot wire cutter is a great investment if you need to cut a lot of foam for various projects, etc... You can paint polystyrene foam ("blue foam") with standard acrylic craft paints, no priming necessary. (Although a good solid black or white base coat never hurt) *NEVER USE SPRAY PRIMER/PAINT ON FOAM, IT WILL DISSOLVE AND MELT!*
Hope this helps, and good luck!