During the “Creating with Quicksilver” session, the Major couldn’t say enough good things about a material called Ethylene Vinyl Acetate (EVA) foam. My only experience with it has been with bedrolls and yoga mats, but he demonstrated several ways to use it when you are constructing costumes.
EVA foam comes and many different colors and thicknesses. There are floor mats that are popular for kids to play on and these often have texture on one side which can add interest. Unlike many plastics, this foam also readily takes to hot glue without extra treatment. It is easy to draw on it with permanent markers, and can be cut with scissors or for more accuracy, a craft knife. It will dull your blade pretty quickly, though, so if you plan to make repeated cuts it is a good idea to invest in a craft knife that allows you the change out the blade easily.
If you do end up with rough edges you have a couple options. You can use something like a Dremel or other electric tool to grind them down, but it will be very messy when the foam starts flying. Major Quicksilver advises running the blunt side of a scissors across any rough parts to smooth it down without the mess.
EVA is especially good for things like armor that need to look heavy and sturdy but you don’t want to weigh you down. There are tons of patterns out there on the web for different kinds of armor, and the foam is great for layering so you can add bulk to your character easily. It is also easy to mold when heated with a heat gun, or even a hairdryer and holds it shape like a dream.
There are some foams, like polystyrene, which are even lighter and readily available, but be advised that there is often a chemical reaction with certain paints that can actually melt the foam. It would be a shame to build a whole suit of armor just to have it disintegrate while you are adding the finishing touches! EVA, on the other hand, is great for painting, especially with spray paint. But beware that the more a part of your project has to bend the more likely it is that your paint job could crack and flake.
Here are a few Steampunk examples I found on the web to inspire your own creations.