I, like Rick, am a large fan of foam. Usually my daughter's now out of style foam wedgies or flip flops. The only thing I do differently is I don't drill a hole just use a rather large sewing needle. I shape the body using my Black and Decker cordless dremel type tool and an emery board. I like the steel shaft from a wrecked umbrella for a plug cutter, one of those that pops up will have a two or three of different sizes. Cut a section square up the ends and sharpen them in your drill. I make a decent looking bug for a redneck.
This was from a synethic wine cork. Can't tell you what brand it was my neighbor.