For the shield pink insulation foam is indeed a good way to go. I used a power sander to save time as it can be extremely labor intensive to slowly hand sand it down.
Paper mache is good but it will leave it slightly bumpy, I paper mached into bondo for an extremely smooth and shiny finish. You can also use fiberglass or other sandable materials but I recommend you find something for a finishing coat that can be sanded.
Cosplays in progress
Phayne/Henger (Monster Rancher 4) - Construction phase
Blastoise (Full Scale) - Design phase
Poe (Legend of Zelda) - Completed (AnimeNext 2013)