That thing is very complicated. I think you are going to have to utilize some sort of wood in order to get the shape right, expanding foam would never be strong enough at the ends to resemble a decent blade's edge, it would always look fat and fake.
Cosplays in progress
Phayne/Henger (Monster Rancher 4) - Construction phase
Blastoise (Full Scale) - Design phase
Poe (Legend of Zelda) - Completed (AnimeNext 2013)