Very simple device. A wood frame, 6.3V filament transformer, some wire (including the cutting wire) and something to control the power level, and you're cutting foam like there's no tomorrow!
I use my hideously overrated (for this application) 10A variac (which I also use to control the furnace's blower) to keep the heat down. Yes, down! Well if it were plugged in straight it would get red-hot pretty quickly, and that makes a sloppy cut. You really just need to be in control.
One thing I screwed up on with this, is the wire (oh, did I mention I used stainless steel lockwire - measures .02" dia.) isn't tensioned well. I mean, it's very well tensioned in the photo, but metal expands when it heats up. A thousand degrees on a foot of wire can make for a lot of lost tension. The best solution is to hang it from a spring, so the tension is relatively constant. Come to think of it, I could modify it to do this...hmmm...
And yes, that fence is as incredibly beefy as you see...I just thought it would be a neat pattern to test out the saw, both in cutting the pattern, gluing it together, and giving the saw a very useful piece in the process. Speaking of which, I need to make a crosscutting attachment.
Check out Dan's Workshop for some great info on foam cutting!