As Umi says, PU sheet comes in different densities, and that affects the working qualities.
The sort of stuff you find in builders merchants, which is probably what most people have experience of using, is very soft- it's designed for insulation not pattern making.
Even still you can get by with it if you skin it with resin and cloth after shaping, then finish with polyester fillers. I used this process for constructing the Yellow submarine plug. The keel and formers were cut from wood, and the bits in between blocked out in PU foam.
Denser PU boards are available which work like soft woods, but without the problems of grain, splitting etc. The snag with these is easy availability and cost, in a nutshell you can only get them from specialist suppliers, and they're far more expensive than foam sheet from a building suppliers.
Pink and blue polystyrene foam represents a good cheap pattern making material. It's dense enough to hold a pattern well, whilst still remaining easy to carve and shape. It does tend to be a bit more difficult to find than some of the lower density foams though.
You can give the foam a good coating of PVA adhesive, or oil paint or epoxy based paint to act as an effective barrier if coating it with polyester resins.
Having said all that I still find wood an economic and very practical way of making a plug especially if the shape is relatively straightforward.