Worbla's Finest Art is a thermoplastic that's ultra cosplayer-friendly. It cuts easily with a knife or a pair of scissors. Then simply heat it up with steam, hot water or hot air (90°C), and it'll become mouldable. Once it's cooled down it goes hard again.
Worbla's work with spray paints and acrylics very well. There is glue on the shiny side, so multiple layers can be added when it's hot. And because it's only about 1mm thick, it's very good for creating details.
Don't throw away the leftovers! They can be heated up and then rolled together, then you can use it like putty.
Sample and A4 sizes are sent as flat sheets, other sizes are sent rolled.