This video demonstrates a great technique for making heads for glove puppets from a small block of foam. Just remember to use extreme caution when sanding foam on a belt sander (it's very easy to slip and seriously injur yourself). Also, while the tip in the video about making a hole in the head with a soldering iron is a good one, foam gives off toxic fumes when it melts so be sure to only do that in a well-ventilated area while wearing a respirator.

This is one many great puppet building ideas from Puppets From Home Workshop, a 96 page puppet building book written in Slovenian that's filled with 96 colour pages that are easy to follow. It's available to order online for €18 (about $28 US) plus shipping from Knjigca.