I believe that the foam insulation you are searching for is the dense "blue foam" used by contractors, typically for insulating basements and crawl spaces. It can be found in almost any building supply place (i.e. lumber companies)and comes in varying thicknesses. I've found 1 inch to work the best. If you make to thick, it shortens the depth of the step since it's behind the steps so your foot cannot go in as far.