The home improvement stores carry several types of foam insulation boards. The white styrofoam board crumbles too easily.
I have written up how I made both my design walls with their pictures, names of the products used, etc. here, if that helps:
http://www.flickr.com/photos/athomesewing/2726109619/
Picture of the type Foamular boards I used here:
http://www.flickr.com/photos/athomesewing/2830706607/