I'm not ScottP, but I have done my share of Rogue style bodies. I use a regular sewing needle and I don't coat it with anything. The only tip I can add is try pushing the foam off the needle and not grabbing the body and pulling. It takes a bit of force but should not damage the body.
Agree, you don't need to coat the needle for Rogues; I thought that Gerri's question concerned the Carnage style extended body.