Familiarize yourself with the different kinds of foam. Styrofoam (technically known as expanded polystyrene or EPS) is the most commonly used kind of foam. It is light and easy to work with. Rigid polyurethane is another useful type of foam. It is a bit heavier, and better for heavy duty work, but somewhat harder to work. There is also flexible foam, such as you would find in foam toys, but this type is generally not useful for props. Finally, there is extruded polystyrene - the type of foam that is used to insulate buildings.
Get the right tools to work your foam with. Both expanded and extruded polystyrene can be worked with either a hot wire tool or more standard sculpture tools such as a knife, rasp, or chisel. Rigid urethane can not be worked with hot wire, but will work well with non-heat based sculpture tools. If it is really heavy, it will require machine tools such as you would use for cutting and shaping wood.
Cut the foam into the shape you desire. Create an approximate shape using knives and saws. A good rasp will also help to shape cutouts in the prop, such as mouth holes or junctures between bricks. Remember to leave a bit more material than you need, rather than cutting too much away.
Sand down the foam. Using sandpaper, you can get your foam to a pretty smooth consistently. Alternately, you can use a thin layer of spray foam on top of your prop to give a smooth finish. You could also use a foam coating product such as Foamcoat to give it a durable, smooth finish.
Attach the various pieces together. You can use glue to join pieces permanently, or create a flexible joint with wire. Simply impale both pieces of foam on a piece of sculpture wire and bend it to the right angle. When you are ready, you can reinforce the bond with glue.
Paint your prop. Latex paint is usually the best thing, and many other types of paint do not work well with foam.