Downsize the dimensions of the real Roman Colosseum to dimensions that are feasible for you to build. The arena is 237-feet long by 135-feet wide, with stair-stacked seating away from the arena, wrapped by walls and columns on the outside. Find an image or blueprints of the interior of the Colosseum.
Draw the inside arena in the middle of the plywood using your dimensions. Cut the Styrofoam diagonally -- narrowing so that you will now have to sheets of Styrofoam that start 1-inch thick and decrease to a point.
Place the Styrofoam you just cut around the arena you drew in the middle of the plywood. Paint or carve the stair seating into the Styrofoam once you know where it will all be set.
Glue the stair seating where you want it to be once the paint has dried on the Styrofoam. Make sure you know exactly how you want it set before you start gluing.
Start working on the walls of the Colosseum. Carve the Styrofoam using an Exacto knife and a flat screwdriver. Decide if you want to cut out or paint the windows on the walls. Paint the outside walls gray.
Glue the walls around the seating of your Colosseum once you have carved it all out and decided exactly how it all needs to be set.
Add extras to the replica. Put sand in the middle of the arena and a few Lego people in the stands. You can put netting up around the actual arena like the Romans had when it was in use or put some toy animals in the arena.