Sewing works well, and when I make a costume bit out of foam, I prefer sewing to glue because it's stronger. But as has been said, it's noticable.
The major problem with sewing is that, simply due to the nature of the simple, single stitch, putting together two pieces that must be exact... rarely works. One peice of foam will inevitably pull the other to one side. It can be corrected, but must be done early before you'd normally notice the problem.
"BAD TASTY HUMAN!" -Munchy, Justice League Ponyland