Yep, but the nice thing is the EPP will last years of TOTAL abuse.
Keep an eye out for EPP, you may find some good scraps or something in the local area. Never know. But if you have to buy the stuff it can be spendy, that is for sure. On the plus side, you might be able to sell some wings to offset the expense..
There are many different foams. The foam use are currently using is very similar to what PSS and DLG guys use in their wings. There are different densities available and slightly different mixes that will have different attributes. Always keep your eyes peeled for chunks of free foam. But be warned, foam from an old boat dock should probably be avoided. It can have all sorts of junk inside that will mess up your CNC, and it can actually become water logged also. Typically it is the lowest quality stuff you will see out there.
Don't be afraid to sheet some wings with thin balsa, you will end up with a very nice wing!