Those are done by a high pressure water jet, but you can get the same clean cuts with a high speed rotary cutter. What you do is crank the cutting bit up to 30,000 rpm and hold it straight up and down. Plunge the rotary cutter into the foam all the way up to the top edge of the bit and keep it at the same depth all the way around the silhouette.
The rotary cutter has teeth on the bottom of it as well as the sides, so therefore it cuts the foam on the bottom as well. The quality of the cut is excellent. The foam turns into powder as you cut, so it's nice to have compressed air handy to blow out your silhouette every so often to clear your line of view. Those finger cut-outs are easily done by laying a nickel on the foam and tracing a line around it.
Hold the Dremel with both hands firmly and cut the foam free handed. Cut the outer perimeter first and then do the middle as you pay special close attention to maintaining the same depth everywhere you go. On some silhouettes, you'll need to do two different depths for supporting the tool. Cut the first depth first and then when you're done, cut the second depth in the spots where you need. The second depth should be exactly twice the depth of the first and primary depth.
Those rotary cutters come in different diameters, but the main thing is to make sure the cutter has a flat bottom and straight sides. Don't use any of those ball shaped cutters. The black high density EPDM sponge rubber works very well.