In the UK, Jason has it spot on for the sheet form. ABS.
Go into any decent model shop and they should have it in stock in A4 size sheets up to 2mm thick, or sometimes you can get 2ft x 4ft sheets up to 3mm thick.
I use the plastic pipe cleaner to weld it together, it used to be MEK (methyl ethyl ketone), but I think that in now banned, but the new mixture still works OK, but not quite as good. Or any of the proprietary liquid plastic glues from a model shop will work.