Reaally big and or really thick. Either is fine. At the Jo-ann fabrics in myt town they only have the standard 8" by 11" sheets and the 8" by 24" sheets and they have the standard size in 4mm thick sheets too. I want something like that in large sheeting Ie mattress size or foam roll like you get vinal fabric on. (I'm thinking about making layered wings from foam)
I really wish I could find craft foam in a larger than 9" x 12" size. (Believe me, I've looked.) It certainly would come in handy on some of the armoring projects I've worked on... What I usually end up doing is hotgluing several sheets together edge to edge, cutting out the pieces I need and then covering them with styrene sheeting (tagboard or something of that nature would probably work just as well as a covering). It's usually good to have SOME sort of covering for craft foam, as it has a tendency to stain easily, I have found.