Ironically, I have been thinking about doing the exact same thing.
A couple of things - I suggest a hot wire foam cutter, rather than a foam knife - gives more control, and less heat output across such a wide area.
Also, on the case club link, while a cool alternative to
BF custom trays, its still expensive, and you have to send in designs. I think the
OP is asking about doing it himself.
I suggest either high density foam, or either polyurethane or polyethylene - the polyurethane is supposedly not easy to cut, but seems to be easier to acquire.
I am going to try and get some foam samples and test them out with my hot wire cutter, and will post back results.
I would suggest you try the same.
Also, another good place I found for foam:
http://www.foamforyou.com/custom_foam_packaging.htm#Charcoal Regular
best of luck!