EVA foam (puzzle piece gym mats) are a good compromise of lack of cost with versatility and approachability. 'Evil Ted' on Youtube has tutorials that formed the basis of me doing my SM Scout and bits for my Space Marine. I am 100% on board with using EVA foam for my guardsman, at least most of it (3D printing some of the bits).
The big things you'll need for EVA foam are the following:
The foam: The easiest way to get it is in 24 x 24 " packs from wholesalers usually around $25 US for a pack of 4, though I found a bunch for $10 at Costco (American wholesaler)
Good Sharp knives with breakable blades. EVA foam dulls blades super quick so you want something you can either sharpen up equickly, or break off for a new edge
Heat gun: no a hair dryer won't work. Yes I know they get hot too.