I've made some parts from foam... For instance, the S-II/S-IVB interstage, which is in the first post of this thread...
https://www.rocketryforum.com/showthread.php?25770-BT-80-based-Saturn-V-quot-Saturn-I-F-quot
You don't want to use the stuff from Hobby Lobby-- that floral foam is pretty worthless. Similarly, you don't want to use beaded foam like that found in packing materials... it doesn't sand, it disintegrates...
What you DO want is "closed cell" foam like that sold at indoor lumberyards... if you live up north, you can easily get ahold of foam sheet up to 2 inches thick... This is really the stuff you want-- the thicker the better. It minimizes the number of layers that have to be glued up to get a block the size you need for the cone.
While you CAN glue it up with yellow wood glue, epoxy is a MUCH better choice. Yellow wood glue dries by evaporation of the water in it, and foam is impermeable-- so the water cannot wick away into the sheets of foam as it would move into wood or paper being bonded to allow the glue to dry... the only way yellow glue can "dry" when gluing up foam is for moisture to move from the center of the bonded layer to the outside edges, which are exposed to air, from which the water can evaporate... If the area is large, the glue will harden at the outer edges, and remain wet between the sheets of foam inward from the edges, even days or weeks later. Epoxy cures via a chemical reaction, regardless of the presence of air, and without evaporation, so that's really the material you want to use for gluing sheets of foam together into blocks... using wood glue can cause the block to fall apart during sanding as the outer cured edges are sanded away, exposing the still-wet uncured glue in the center. For small parts its okay, but for larger ones---- Well, epoxy is just your best choice...
I glue a wood dowel into the center of the block, again, using epoxy. This can easily be tightened in the chuck of a drill, which then turns the block. Using various grits of sandpaper, starting at about 60 grit and working up from there progressively finer, you can easily turn the cone to shape and size... just remember you have to "sneak up" on the correct size, switching to progressively finer and finer grits of sandpaper as you get closer and closer to the exact size you want and need. I recommend using a tube coupler glued onto the shoulder for a good fit into the tube when finished... that way you don't have to worry about keeping the size of the shoulder very accurate in foam... you can epoxy the coupler onto the foam shoulder easily, using the epoxy to fill any gaps between the foam and the inner surface of the coupler. Remember, you can always take a little more off, but putting more on doesn't work...
I cut a pattern for the nosecone by drawing the exact shape I want onto cardboard, then cutting it out and cutting the pattern in half along the centerline... that way you get a "negative" pattern in the cardboard when you cut the cone shape out of the cardboard, and cutting it in half lengthwise gives you an accurate shape template to compare to the foam block as you're sanding it, and mark any steps or areas where more needs to be taken off... I've done some pretty complex shapes in balsa using this method... (Ares I/Orion nosecone).
Basically all you need is an electric drill you can clamp to a tabletop, and some 60, 80, 120, and maybe 220 grit sandpaper... the rest is just the time and effort put in to do it. I also recommend some "paint mixing sticks" from the lumberyard to tape the sandpaper to, to hold the sandpaper firm and flat while you work... that way you can turn MUCH more accurate shapes than you can using the sandpaper freehand...
Later and good luck! OL JR