I made mine out of a small piece of Wonderflex. I'm not planning to wear the costume again anytime soon, so if you care for it, I can sell you mine for cheap. Pics can be found in my gallery.
I made mine slightly rounded with the "horns" blended into the rest of the piece so that it appears as one continuous piece. I attached it right to my wig, but the 4 edges half small holes pierced through in case it ever gets attached to a headband or something. It could use a repainting though. I did a rather rush job on the paint the night before we left for Otakon even though I spent several days making it during the summer. >_>;;
Craft foam probably wouldn't look as good unless you can get it into a good curve as Jiraiya's curves in both directions (ie. like the outside of a sphere, not a cylinder which craft foam would usually give).
PEACE OUT =)
Amy the Yu
Next Convention: Youmacon
2009 Cons: Katsucon, Con-G, MacTAC, Ad Astra, Anime North, Colossalcon, Polaris, Otakuthon, Otakon, CN Anime, Youmacon, DTAC maybe more...