I didn't make a Cammy, but I did Juli/Juni, who use the same armor glove. Check it out: http://images.cosplay.com/showphoto.php?photo=687948
I used furniture foam (as in cushions) that I bought in different thicknesses. The majority of it is 1" thick foam with the thicker sections having an additional 1/2" layer. The hold shape is covered in felt and then I used celluclay to make the ribbed armor section and paper clay to make the round knobs. It came out okay and I could probably do a much better job now, but it worked well enough for the costumes. The gloves themselves were just red knit gloves I picked up from Walmart, cut off fingers, and stitched under the raw edges. The knobs on the knuckles were attacked to a thin felt-covered stip of foam that was attached to the flat of the glove. The big round elbow armor part is hard foam, the kind you find in the floral crafts section. I glued felt around it to match the arm bands and attached it at an angle.
If you'd like, I can probably dig out the arm bands and take better pictures? Anything to give you some ideas on how you'd like to make it.