I've been wanting to expand my old west town for a few months, and decided to experiment with foam to duplicate the brick and stone buildings so common in 19th century architecture. So over the holidays I put together two new buildings.

The tan building on the right was my first try. I used 1/4" thick walls cut from 2" blue foam with a hot wire and pieced them together. Big note - this doesn't work. I couldn't keep the thickness even and the walls lacked strength. Still it was easy to score the pattern and I was encouraged.
The brick building was try #2. I used 1/2" pink foam for the end walls and a high density 5mm hobby foam for the sides. The 1/2" thickness of the pink foam created some problems with clean cuts as I have forgone the hot wire, but the cuts were straighter. The pink foam also was much easier to scribe, but I wanted to detail the interior so I picked up the hobby foam for the side walls to give me more room.
The hobby foam was definitely a little harder and took half again as long to scribe. Additionally it didn't hold the PVA glue as well, prompting me to scratch finishing the interior for now (well that and there wasn't enough room).
I also tried another experiment on the roof of the brick building by making it out of some scrap magnetic sheet. This allows the sloped roofs to still be used in games.

I need to detail both buildings, but overall I feel that the methods will work. I intend to put together at least 2 blocks worth of such buildings, most of which will double for pulp and gangster era games as well.