This article is from the Model Rockets FAQ, by Wolfram von Kiparski with numerous contributions by others.
Foam is interesting stuff to play with. You can cut wing cores using a
hot wire and 1/16" ply or formica templates. Parts for rockets can be
made by simple carving and sanding.
Even more interesting is making lightweight wings and other parts using
foam, silkspan and thinned white glue. Someone called Ron St. Jean built
lots of competition free flight models in this manner. The silkspan is
applied wet over the foam, and thinned white glue is brushed on. When
the silkspan dries it shrinks, and the result is an incredibly strong and
stiff structures. One could conceivably use this method for nose cones
or complex scale models. In England, foam and brown wrapping paper is
used for complex ducted fan models (someone actually flies a seven foot
long scale Concorde constructed like this).
If one uses heavier paper (eg. grocery sacks) perhaps one can dissolve
the foam once the white glue is set (use acetone or dope thinner for
this). For rockets imagine something shaped like a V2 made like this.
Once the foam was dissolved you'd end up with a light weight craft paper
tube of the proper shape, boat tail and all.