How does one make foam inserts for games?
I'm not sure if this would work well for you, as you didn't mentioned exactly what type of things you're transporting, but I'll throw it out there as a posibility for when you need to transport larger items (eg, I have a wh40k scale titan that I built for a friend when the Armageddon rules came out)


find a container of a suitable size for transporting the items
get two heavy duty plastic bags, each larger than the container (can be lighter weight, but then it won't be as durable.  The more in/out bits the item to be cushioned has protruding from it, the larger the bag you'll need. 
get enough spray foam from the hardware store to fill the container.
find a couple of heavy twist ties
tape a bag to the tube for the spray foam, leaving as much space as possible for the bag to expand.  Do not fill the bag with air, only open it enough to get the tube on and secure the bag's opening.
If using more than one can of spray foam, prepare the other bag, too.
place the first bag into the box, and fill it part-way with foam, then set the item onto the bag, and fill the bag until it's takes up about half of the empty space in the box.  (you may have to move the spray tube to the next can and/or just use a bag per can ... more bags means the foam will separate into more pieces)
place the second bag on top, and close the lid as best you can, with the tube sticking out the side, and fill the bag with foam 'til it starts trying to come out the container.  (note -- some spray foams continue to grow after spraying ... it's a good idea to pay attention to how it grows w/ the first bag, so you can be prepared)
let cure


It works well for packing stuff once, but the foam sets up fairly hard, and so you sometimes have to break the foam when removing the item, which makes it less useful for repacking multiple times.

You might also be able to just place all of the items in the bottom of a shallow box, use a single bag of foam over it, then once cured, flip the whole thing over to have little recesses for each piece.

...

If the question was simply 'how do I keep the pieces from rattling together', I'd go with egg-crate foam; you place the pieces in the valleys of the foam, put another piece on top, then compress the whole thing together.  For anything but stuff with really fine and/or delicate parts, it works great.

...

If that still isn't enough for you, and you really wanted to make one of those boards with various sized holes in it, then you'll need lots of free time, some sheets of foam (but not too rubbery ... it seems to attract hair and dirt), contact cement, a few sharp craft knives, and some free time.

For each tray, you'll need two pieces of foam -- one to hold the piece, and one as a 'bottom' to the tray.  The bottom should be stiffer, but fairly thin, such as camping pad.  The other one should be thicker, but 'softer' material, tall enough to sufficiently hold the piece laying down.  You should be able to find this at fabric stores, as it's used for upholstering.  You'll then want one of the thin but stiffer pieces as a lid to the whole thing.

You're only going to be cutting the pieces that are thicker and softer.  For each hole, you'll want to cut it just under the size of the piece it's going to hold.  How much smaller depends on how soft the material is.  (the softer it is, the smaller you'll want the hole, basically, you want to wedge the piece in the hole and it to hold firmly if it's heavy such as metal figures; you want it less tight if it's lightweight with more delicate parts).  Cut all the way through to the bottom.

Once you've got all of the holes cut in the sheet, use the contact cement to attach the cut piece of foam to one of the bottoms.  Make sure to read the warnings on contact cement; they're not kidding when they say shut off the pilot lights in the house as it's highly flamable.  I'd also recommend using a disposable brush (or a scrap of foam), as it's a pain to clean up after.

Once you're all done, you have a series of trays that you can stack together, and then put the lid on it, and transport.  (although, it also helps to identify a container to set it all into first, and make them to fit the container for easier transport)