Lightweight closed-cell foam (for dry flies) is an exasperating
problem. The stuff exists, in multiple colors, but you have to
buy huge quantities at wholesale prices to get it.
I bought $300 worth of ultra-lightweight EVA foam for
boat seat cusions 15 years ago. I don't build boats commercially
anymore. But I do still use the foam for grasshoppers and
stonefly adults, ants, beatles, crickets, etc.

Open-cell foam is good for nymphs and streamers.
Opencell polyurethane foam is mostly used for padding
electronic components in shipping boxes. The best foam
for that purpose is relatively dense. I holds air bubbles
(even though it is open-cell) so it's hard to sink.

The best open cell foam, for making wet flies of any kind,
is the cheapest low-quality mattress foam. It is pretty
close to white when it first gets made, but it yellows quickly
after exposure to sunlight. It can be dyed with Rit dye.

I use cheap mattress foam for stonefly nymphs and
soft streamers (fish tend to chew...to hold on to they fly).

On many of those flies I add a spawn sack cover, for
durability. But it's a pain the vise. So I've been experimenting
with not adding netting.

Fabric cement is good for attaching things, because it
remains soft and flexible (unlike super glue or epoxy).

Soft flies only make sense for big flies.
They don't add much for small wet flies.
I use open cell foam only for big stonefly nymphs
and lure-like streamers.