One of the cheapest and toughest foam covering materials is document laminating film. The RC community has nicknamed it New Stuff for some reason.
Initially I bought 10m each of 43 and 75micron laminate from www.aussieflight.com.au for $1/m. That amount covered Le Fish fuselage three times, the wing twice, and the wing of my next ultra light build.
If you want larger quantities you can buy full rolls from a laminating supplies business. It works out much cheaper per metre.
I bought two GBC EZload laminate rolls
Updated GBC link (Thanks Lex_Dysia)
1.7mil (42.5micron) x 305mm x 100m
3mil (75micron) x 305mm x 60m
Price was $45/roll plus freight and GST and it's perfect. Goes on easily with a warm clothes iron (Wool setting) and it will cover many future planes.