I make foam targets from scraps left from my upholstery work quite often. 2 layers of 4 inch foam will stop arrows with field points. Of course the quality and density of foam varies so keep that in mind. If it goes thru 2 layers go to 3. Won't stop BHs though. They will zip thru like nothing was ever there. Might take as much as 4 or even 5 for BHs.
You can glue them together with trim adhesive from the local auto parts store or WalMart(in the automotive section) but if you can lay hands on some plastic feed sacks, just cut the foam to fit a bit over size and shove it in the bag. Helps keep out some water too.