Adam; I used pink Owens-Corning 'Foamular' extruded polystyrene board (but Dow Styrofoam is the same thing). I have used 2-part "five minute" epoxy to bond the board when I want a really good bond. Spread it with a squeegee but don't get it anywhere near an edge or anyplace that you'll be sanding, because the hard epoxy sands much differently than the softer poly board and you'll end up with a ridge.
I've used hot glue when I was just mocking up something and wasn't interested in a permanent bond. Pieces joined in this way come unglued under load and they also fall apart over time if you don't glass over them, so this is only a temporary way to bond polystyrene in my opinion. I've also used a peanut butter mix of epoxy and microballoons, spread out moderately thin but not too thin, to permanently bond layers of polystyrene board. The same caution applies as it does to 5-minute epoxy: don't get it near the edges where you will be sanding it, even though micro sands a little easier than solid epoxy. You will get ridges at the glue joints if you let the micro mix get out to where you are sanding. I've also used plain Aeropoxy to bond layers of board, but it can get pretty heavy if you use a lot of it. Oscar Zuniga Medford, OR