I just did my first foam with lining for my Duelling Pistol set
You can kind of see the results here. I will take a picture of what the foam looks like without the lining.
It turned out to be easy to do with two tips that I had for my soldering iron. Both were flat blades, one basically vertical and one horizontal.
I used a 1 inch thick piece that I cut a 1/2 deep recess in. First I simply laid the piece on the foam and then traced with a sharpie. Then using the vertical blade cut around the tracing to about a half inch. Then using the horizontal blade cut out the piece as I slowly pulled it back.
Hope that helps a little.