The nice thing about the foam is that it hides the egg crate or support structure. You can zip tie live rock to any support structure, but you might have a hard time hiding it.
To make solid structures of live rock without having to dry it you might consider using the acrylic rod method. I did this method and was happy with the results. In the end there is no support structure to see. Although I like Tiggsy's approach better overall. There are trade offs. If you click my red house, my web site has pics of my aquacaping using acrylic rods.