Carve the shape of your column into the polyurethane foam using files and hand rasps. Use a photograph of a Greek column as your model. If you have a large enough piece of foam, you can carve a single-piece column; otherwise, you can carve and assemble multiple blocks.
Assemble your blocks to form a single column using durable glue or another adhesive.
Cover your columns with primer.
Paint your columns in a base color resembling stone or marble. For instance, you could choose white, gray, or a light tan. Use several coats, if necessary.
Add detail to the column to create a textured, marbled look. You can use a smaller detail paintbrush, a sponge, cheesecloth, or some combination of these techniques.