Like just about any material, you can
bend it to a certain
point, and if you need to
bend it tighter than that you can make relief cuts on the inside of the
bend or
laminate multiple thinner sheets. If you need a still tighter radius, then you'll need to
build up a blank and cut it to shape. If you want to have a curved foam piece that is self-supporting (ie-not attached to a rigid wood or metal frame), than you'll need to go with the lamination method (you could also
laminate it with other materials--fabric, wood, fiberglass, solid polystyrene sheet,
etc) or the built-up-then-cut method.
There is really no good way to take a single sheet of EPS and
bend it so that it stays how you put it. Well, you could heat and
bend it. . . but that tends to be a really nasty (read: toxic) thing to do.