The flip flop foam works great. It's super cheap, if you go to a dollar store, you'll have no trouble finding a pair for a buck. It ties nice and the flies are tough as shoe leather, well, flip flop foam.
If you want some thinner stuff, 2mm - 5mm, you can get sheets at any craft store or walmarts. It's usually about .50 a sheet.
Between those two, you are pretty much covered for cheap foam material.