I started with felt, then flannel, and neither worked very well. They weren't sticky enough.
At one point, I started using Quilter's Dream batting in my quilts, fell in love with it, and haven't used W&N in a quilt since. I had some leftover W&N, pinned it to my design wall, and it works beautifully. It's very sticky, it will hold not just blocks, but entire rows, without pins.
I simply attached the batting to the wall with push pins. Easy to remove, easy enough to fix holes when it's time to move. I've never felt the need to have styrofoam.