I dont know about foam megz, might depend ALOT on exactly what kind of insects you planning on breeding in them. For instance, crickets will eat anything, and I do mean anything!
I had some crickets in a plastic tub with soft flyscreen mesh over the top. (the kind on your windows) Safe enough youd think right? Wrong! they actually ate holes in the mesh and escaped!
I removed foam faux rock walls from my exoterra tanks because crickets were eating the foam (this despite haviong food avail for the crickets at all times.
I removed it as soon as I noticed it, The lizards (geckos) and frogs were ok after eating the crix but it could have been different, and I certainly would not have fed these foam gutloaded crix deliberately.
Tall plastic tubs (prevent cricks reaching mesh) with fluon painted around the rim are probably the best for breeding insects Megz.
If you go to cheap shops like Go_lo, the warehouse, the reject shop etc, yopu can buy large sturdy plastic tubs very cheap.