For mould-making, I can recommend the styrene foam used for insulation. I bought a pack of 4 slabs for £20 from B&Q and it was more than enough to build the former for the curved chair back I show in my avatar. It's not the easiest to work though, I spent ages trying to rig up a hot wire but you really need proper voltage control otherwise the wire catches, drags, overheats and melts. I ended up bandsawing it, then using a long board with a length of 40-grit (IIRC) sandpaper to sand it to shape. I was very pleased with the result, even if it was hard work.
When I make my next one, I'll make a spindle template and shape each layer on my router table with a long cutter, before stacking them together to make the former. I reckon that way there sould be virtually no cleaning up to do.
I also skinned the top with thin MDF, which was a very good move, as it smoothed out what little ridges remained.
I'm hoping it will all appear in GW just after Christmas. Can you stand the anticipation?