HDU is a staple product for signshops. We use it instead of wood for sandblasted and routed signs.
Chances are you have at least two sign shop suppliers that deliver to your local area weekly. Do a search in your online yellow pages - and make sure you are looking in a large enough area - my supplier delivers twice a week and is a 2 hr drive - they roam!
They will be selling it under trade names like Design Board, Sign Foam, Dura Board - etc. Also ask them if they can recommend a sandblaster - they will have a ton of scrap they will sell cheap! Use Gorilla glue to mock up larger pieces as needed.
Idea of prices.
4x8 Sheets - 3/4" $157., 1" $196., 2" $326., 3" $500.
Another note - I prefer using PVC sheets sold under the name brand komatex, sintra - It takes less damage, keeps sharper corners and is flexible enough that we use the 3/4 for 1-off molds.
4x8 Sheets - 1/8" $25., 1/4" $47., 1/2" $99, 3/4" 125 - much cheaper and more usefull
Worry about success, failure takes care of itself.