Take some cross-sectional measurements of a Roman column. You might find one at a local Federal-style building. You will want vertical measurements every few inches where there are changes in the shape. You won't have to measure the top, since you can just use the measurements from the bottom.
Adapt your measurements to your venue and needs. For example, if you need an 8-foot high column, but the column you measured is 16 feet, then divide all of your measures by two.
Cut out squares from the foam board that are at least as large as your biggest cross-sectional measurement. You will need enough that when they are stacked they would be they height you want for your column.
Use a marker to draw the shape of your first measurement on the first square. Use a hot wire cutter to cut out the shape. Repeat this process to cut out all the shapes based on the measurements.
Stack your cutouts to form the column. As you do, use foam safe glue to glue them together. Paint your column white.