Hello, and welcome! ^^
Ok, first off, there's a few different places you can buy eva foam depending on what you're making. For thick armor, there's floor mats like these:
For somewhat thinner armor, you'd use something like this: http://www.harborfreight.com/anti-fa...mat-61241.html
And lastly, there's the foam that generally comes in 9" x 12" sheets:
It also comes slightly thicker than 2mm and can be gotten from craft stores such Hobby Lobby. It's also possible to get that kind of foam in big rolls, but unfortunately can't find my bookmark for it. It's out there though.
To adhere foam together, there's a few options. I like using epoxy myself, but you can also use hot glue, and I hear Barge rubber cement works really well.
When painting foam, you'll want to make sure to heat your foam with your heat gun first. This expands the air cells in the foam so the holes won't be as big. It'll get slightly harder and a bit more shiny. When you're finished with that, you'll want to spray a few layers of Plasti-Dip on it to seal it. This gets rid of the foam texture so the surface is smooth. I also like using Frog Juice to seal it and personally think it works a bit better than Plasti-Dip, however, it cannot be bent upwards or it will crack, while Plasti-Dip can be bent safely. Just take into consideration if your project can bend at all.
For painting, just use spray paint in whatever color you fancy. Krylon, Rustoleum, and similar brands are good, just avoid the spray paint that costs like $2.00. Also, you'll want to have a test piece of your foam with the same layers of paint on it as your piece. That way, you can test your paint on it before you paint your actual piece with it, so you can see if there's going to be problems with paint interactions. As a general rule, lacquer paint (including lacquer sealers, be careful with those) can go beneath acrylics and enamels, but never on top or it eats the other paint, acrylics work well with enamel, and spraying enamel paint over enamel paint requires that the first coat of enamel has had about two days to fully cure. Hope this helped a bit.