Here's a great, free way that I make my targets. I have a friend that works at an IT department, where they go through a lot of computers. She gives me all the ethafoam that they are shipped in.
Here's a pic for your viewing pleasure!
So, here's what I do:
1. Pick up the foam and stick it in my office (at work!) until I go home...
2. I take each piece of foam...
3. Take it apart...
4. Put it back together as flat as it will fit.
5. I put a bunch of the flats together...
6. And then I wrap them with plastic pallet wrap. A $20 roll will last a lifetime...
7. In this case, I took 3 wrapped segments, and then wrapped them all together...
8. I stick the target in my side room in the basement...
9. And then the fun begins!
It's hard to tell in the picture, but the "bale" is probably 150% of the size of a normal hay bale.
This stuff lasts forever, by the way. When this bale is all shot full of holes, I will just wrap it all up again with more pallet wrap. I have no doubt that this one will last many seasons. And it was virtually free, made by recycling what someone else was going to throw in the dumpster.