My local Home Depot only has white beaded foam, which I don't like sanding on. I've never used the blue stuff -- if you can get it, you're lucky.
Craft stores have blocks of green polyurethane foam in the flower-arranging section; that's what I'm thinking of using in an upcoming project. It's "crunchy", so it doesn't squirm away from a blade or the sandpaper when you go to cut it. OTOH, you can't cut it with a hot wire. Pick your poison...