You should be able to get it at a hobby store or something.
I know my cousin bought a case for warhammer and just used a styrofoam wirecutter thing to cut out the shapes for the models. I can picture the product you're looking for but I just can't put a name to it.
EDIT: I think what you're looking for is http://www.popguns.com/bulldogcases/.../hardcased.jpg
right? In that case it appears that people call it "die cut foam". I can't find anything else however that's probably a good lead.