Went to Walmart, picked up the Black and Decker electric knife (you know... the one you carve turkey's with!) and it works excellent on acoustic foam. I've been easily cutting through 2" Wedge foam and it doesn't leave a messy edge! My wife got that trick from a home improvement show.
Yeah, it's what Auralex reccomends on their site. It's what we've always used in our studio builds but I didn't have one at home. The phrase "cuts like a knife through warm butter" is apt.