Yeh i have a feeling it will need to be pressed or sliced depending what it is, a while back when playing recball we made some coloured foam armbands and we found sandwiching the material under a sheet of cardoard while machining gave a perfect edge, may work with this stuff.
just need a sample so i can find out exactly what it is, if we cant our suppliers will be able to identify it.
Pretty sure its closed cell expanded polyethelene, but will need to be 100% before i make some.