I use an electric bread knife to first get the foam into the shape I want. Then I use my belt sander with #60 Grade belt to carefully finish off the foam. Then I stretch and glue a thin polyester material over the foam using spray contact adhesive. I learnt this method from an upholsterer years ago.
I've never been able to find dense enough foam at clarke rubber. I'd be interested to know what clarke store stocks high density foam...