I've used a couple of different glues to see what works. Almost anything that doesn't dissolve the foam has worked. I used the last bit of Canopy Glue for one of them. I've also used Elmer's white glue and Elmer's Carpenters Glue.

I've recently found a glue that's sold in the model trains section of the LHS. It is "Foam Tack Glue" and looks just like regular white glue. It gets tacky almost right away if it's smeared out thin. That's good because I can then simply put the pieces together and set the thing aside until the next day.

But almost all of them work. Just stick two parts together and hold with masking tape. Add another part and tape it. Add and tape, etc. Set aside until tomorrow.