I have some additional information on the closed cell foam from Foam Express.
The cutting is done with a water jet machine. Cutting a 48" X 72" sheet into 2" wide X 48" long strips (36 cuts) is a $26 cutting charge. Shipping from MI to AZ is $42.
They actually list three types of closed cell foam and they are, in order of most rigid to most flexible: Neoprene, MicroCell and Polyethylene (pool noodle). The Neoprene is quite a bit more expensive than the Microcell - $125 vs. $89 for a 48" X 72" X 2" sheet.
The cost for the cut and shipped (to AZ from MI) Neoprene sheet would be $193 for 144 ft. of 2" X 2", or $1.34/ft. This is the only source I have checked, and there may be other/better/cheaper suitable foam products available, possibly from some local foam fabricators. In any case, if I were to go with a foam, I would prefer a professional cutting job rather than try to hack the stuff up myself.
Steve