I have never done it, but it sounds to me it depends on the hot knife, and if you do end up doing this, please where a really good resperator. If you sharpen your blade after every few cutouts, you should be fine as a hotknofe may not give you the desired precision or also burn the foam
I have one and I used it for very fine carving or details on my DMR, but after that I've rarely ever used it. I find a very very sharp utility blade is far more effective IMO.