The ones I've encountered when people were making props and costumes out of foam, were the electric carving knife or a hot wire. Ventilation and some skill are required for the latter, but it has the advantage that you can make weird shaped cuts easily.
Mandatory, these days, I think. Styrene fumes (and those of other insulating foams) are carcinogenic.
At college, all of the hot wire stations in the 3rd floor workshop had extraction. This was ducted and dumped, unfiltered, to mix with the traffic fumes on Southampton Row.
I'm not sure how optimal a hot-wire cutter is for closed-cell foam such as Plastazote, I can see it kinda cauterising the edges in a not very nice way.
WJ's idea of 'polishing' the edges with a hot air gun is one I am not sure is necessary. Closed cell foam doesn't behave the same way as acrylic does (which does benefit from flame - or heat - polishing).
Closed cell foam edges will not deteriorate if left untreated. As materials go, it has an astonishing lifespan before it starts to fail or deteriorate. I have some closed cell foam items I made probably more than 40 years ago. They're still doing their job today.
Rohacell, on the other hand (foamed acrylic) is the king of modelling foams, and best cut (or machined) using Very Sharp (new) Tools. It is possible to cut it in slivers of 0.5mm or less without it losing structural integrity. Unsurprisingly, it is fiendishly expensive....
As I said earlier, I think I need to get out a bit more...