Have you ever liked something so much you decided to make it in every colour? That's what's happened with this necklace.
I have seen people make they're own using cardboard but I think the foam one helps as it holds the strands well.
Here's great link to a video direct from Beadsmith on YouTube which is fantastic if you're new to using beads with Kumihimo - http://www.youtube.com/watch?v=utQVPP7ky2g
It's how I learnt to add beads and explains the technique perfectly! I also have the Beadsmith bobbins as seen hanging down from each thread in the photo below but prior to owning them I just used cardboard bobbins such as used with cross-stitch cotton.
Make a length of beaded Kumihimo weaving approximately 12cm (5") in length.
Wrap it until you have a coil approximately 3cm (1") long
Thread a length of chain through the loop to create a double layer of chain.