What to use to make the building?
There are many methods of building walls.
It will depend on what you are using them for as to what you should use. Also, different materials are used for different scales and depending on how detailed you want them.
I use the high-density pink foam for a lot of my building. You can cut or carve a lot of detail into it. The blue is okay but being slightly softer it is not as easy to do fine details.
If I am making something very small I will use the white plastic sheet stuff that model railroaders use. You can buy it in large 4ft by 8ft sheets which makes it afordable. If I am making something like the little 15mm building in this picture I will use the 1/4" foam poster board.
The easiest walls to make are made simply from thin plywood, foamboard or carboard and then coat with goop or a thin slurry of plaster-of-paris and a bit of white glue will also work for this.
For more detail, you could just coat them with glue, sprinkle on fine sand and paint them an off-white. Like in the first picture at the top of the page. (bigger photo)
And they can be further detailed by adding card-stock bricks before coating. You do not need to glue on many for a nice effect, you can do the whole wall but 5 or 6 is plenty for the effect. Here is an example of what I mean. The bricks here are a little too large but it still looks fine.
You can also use a coating of fine sand sprinkled on while the goop is still wet.
If you want to make a large building with a couple of levels or floors to it, I use the high density foam. I like the 1/2" thickness for the outer walls and occasionally will use the 1/4" foam-poster-board for inside walls.
In case you do not know, the paper coated foam poster board stuff comes in 1/2"thickness too but it is expensive. The 2 foot by 8 foot sheet of the pink high-density foam costs about $5.