Given the sheer size of those gauntlets, I'd look into
insulation foamboard. Home Depot or Lowe's sells it in
gigantic sheets with varying thicknesses.
Foam is light, which will help reduce the strain on your arms. I would get a foam cutter, though, since you do have a handful of pieces that are curved. (Carving this stuff can be a little time consuming, especially if it's thick, and requires smoothing at the edges if you use a standard knife.)