Agreed, EVA foam (also known as craft foam or fun foam, available everywhere kids craft supplies are sold) is the easiest.
You can mold it with heat, a good hot blowdryer, heat gun or iron (if your careful, don't touch the foam directly it will burn and gunk up your iron).
It has to cool in the shape you want, but it doesn't get so hot you can't use your own head. Then once you have the shape you desire it requires several base coats of EVA glue (Elmer's Mod Podge, etc) to close up the porous surface.
Then you can spray paint to get the pretty finish.
Somewhat time consuming, but very low cost, like a total of less than $10USD unless you don't own any heating device.
NOTE: When it comes to the surface finishing, have a couple scraps of foam that you coat the same as the headpiece. Test your spray paint on those before going to the headpiece. That way if you don't have a good enough seal, you know to put more on the headpiece instead of loosing all your work because the spray paint ate your foam.