One more suggestion.
Harbor Freight has "needle" files http://www.harborfreight.com/catalog.../result?q=file that are $4.99 for a set, out of which you will only use two for foam flies.
I use two of the others for hook sharpeners. The handle choice is personal preference.

As mentioned earlier, I prefer the hot bobbin method to make a hole in the foam, BUT, you don't have to use a bobbin at all or can use the needle file to enlarge the hole. This is particularly helpful when you have added a lot of tail materials and make a significant increase in shaft size after youve added flash, and bucktail and maribou and hackle and rubber legs, etc. etc. The needle file can increase the hole size at the back of the hook while leaving the hole small at the hook eye.