One of my favorite costume craft materials to work with is Worbla. It is a thermoplastic which means when it is heated (ie: heat gun, boiling water, etc) it takes on a new property. The thing I like about Worbla is that when heated it becomes a very malleable substance, which is best described as a warm tortilla made with bits of playdough.
The stuff is great!
I was introduced to Worbla while working at the Omaha Community Playhouse on their production of The Wizard of Oz. Unlike such thermoplastics as Fosshape, Worbla has a higher heat tolerance and does not burn holes as easily. It also does not shrink like some other thermoplastics, and can be reheated well just like the leftovers of your favorite restaurant.
The Worbla I used for my craft projects on The Wizard of Oz also had an "adhesive side" which made mounting it to itself or other materials a little easier.
Above are two of many costume crafts using Worbla. They both show Worbla's "draping" abilities. The first two photos show a pair of shoes that I converted into lion feet using molds and Worbla. I was very pleased with the vein detail I could get using the Worbla in it's moldable state. The latter two photos show a headpiece for the Cowardly Lion. The mask portion was "draped" with a mold, while the ears were hand crafted.
Now that you have seen how Worbla can be used, you obviously want to go out and start creating your own things. I will caution you that as with any thermoplastic, Worbla can get very hot, and I have had more than one occasion that I have been burnt using it. My best advice is to try it out for yourself with trial and error. Worbla may work for you, it may not. I just happen to think it is an amazing material that could easily be added to any costume craft arsenal.