Wrapping closed-cell foam around a 8 or 10mm fibreglass rod won't work, because the foam will be under a lot of pressure to resume it's original flat shape. The foam on the inside of the curve will be trying to expand, and the foam on the outside will be trying to contract. But you've already experienced that, I gather.
So sandwiching is the way to go, if what you've got is sheets.
A belt sander (clamped in place upside-down) is good for shaping curved closed-cell surfaces, once the foam sandwich is constructed and the glue is fully dry. But it's messy, and you probably don't have one.
As Derek says, use new craft knife blades. I use them in the plastic handle, it's probably a bit safer than handling the blade directly like Derek suggests unless you're very handy. Use long, slow blade strokes, drawing the knife through the foam, as opposed to jigging it back and forth a lot. Carve the corners off the sandwich to get an octagonal cross-section. You could just leave it octagonal, or carve the corners off again to go for something close to round.