If you saw one of the Kougas at Ohayocon (she posts on here under Rameana) her armor was made out of vinyl (pretty sure it was), which isnt a bad material at all because it does somewhat hold its shape, its just getting it to form to you properly that can be a hassle. Youll definately want to start out by measuring yourself and making patterns, checking to make sure that the patterns fit correctly.
Some other materials that might work are craft foam (a cheap method, but sometimes it works) plastic sheeting or polycarbonate (aka sintra
, the stuff my samurai armor was made out of) And for some reason Im thinking paper mache, but the fact that its large armor pieces might not work well.
Hope that helps a bit.