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 affordable. If I am making something like the little 15mm building in this picture I will use the 1/4" foam poster board.
Here is the way to make simple brick or stone walls. I use this method the most. It takes time but the result is nice. Once you have made an entire castle this way you will understand why people want so much for them.
The Big Secret #2
Cut then make (go over the line with a dull pencil)
Basically that is how I make rock and brick walls.
Cut your lines with the knife then go over the lines with a dull pencil to deepen the grout lines.
Carve out and shape your walls with a saw and coarse wood rasp. Then do the rock work. That way if the piece you are building is sectional, like this one, you can fit them together and match the grout lines on each piece as you make them. This will help hide the joints between the pieces.
I like to cut out the small wooden doorways a little so that the door will fit into the wall not just stuck to it. Make your doors first of course. I use a thin wood stock, (tongue depressors work good), and carve in the 'boards' with the back of my hobby knife.
If you want to get fancy, you can add paper hinges and cross boards or, like for the main gate on this piece, add things like hammered out toy rings and cut outs. Check your local dollar store out for party favours. I use the rings for various things.
Back to the walls... As mentioned embed the doors into the wall a little, it will look better.
Simple cut, chip, and scrape until they fit. Don't worry to much about chips and marks in the foam as they will just add to the detail. For extra detail in the stone you can take a small coarse rock and press various bricks in and put marks on others.
Once you have it cut out and the bricks carved in, goop it, let it dry and add paint.