You should do a search for Foamies on apug, we had discussed it quite a bit.
As for purchase in NYC, most larger arts and craft stores should carry adheasive backed foam sheets. I saw them in Michaels craft stores in the past, and I am pretty sure places like Pearl paint, or Utrect would have some stock of it.
The Foamies brand is very inexpensive, closed cell, and available in black and has held up well.
If buying another brand, I would suggest bringing a ruler to measure the thickness, or borrow one from the next isle. Common sizes are 1-3mm being used in cameras, but choose the type which is correct for your build.