The term they will likely recognize is "Anti-fatigue foam mats", or something of the like. You should find them around the treadmills and elliptical cross-trainers (I found em on a shelf underneath them). If you have a Harbor Freight near you, that would be even better because they tend to be cheaper there, and they are usually running sales there. You can find the little 2mm and 5mm "foamies" for details at craft stores. Hobby Lobby has a great selection of sizes, but you can find some at Walmart or Michael's too. They have them near the beads at the Hobby Lobby here, but I'm not sure if it's the same at other stores.
One thing I've noticed building with foam is that it is easier to avoid getting burned if you're careful not to glob the glue on (it'll drip). Smooth it down with the nozzle of the glue gun before you join your pieces together, and your seam will be cleaner, too. ^^ It also cures faster that way, so you're not stuck sitting there waiting for it to dry enough to hold. Lots and lots of fresh x-acto blades really make a difference in your seams, too.
Heating them is helpful to end up with the right shape (My Wetwork helmet ended up longer rather than wider because I didn't heat the pieces much), but if you do heat them, be sure you heat pieces for both sides the same way or it'll try and warp a little. I've personally noticed more scratch-builders heating the foam than pep-builders, but to each their own. I heat em either way if the situation calls for it.
Erm...that's all I can think of from personal experience that might help. Good luck! I'll be looking for a build thread! ^^
Wow! All that information helped me a lot! Thank you for that! Oh, and I found a Harbor Freight near me, and I'll be headed there ASAP! Thanks again for that help
Oh, and at Harbor Freight is it called anti-fatigue roll mat? That's all I found there that seems to be relevant.