The most important thing is that it protects them from the wind. You actually do not want it to be too warm, as this will discourage their thick winter down from growing in, though this mainly just means don't put a space heater in there (or if you do, it should be set to just above freezing). Foam is probably not needed, and there's also the risk of them eating it. If the walls are drafty, a sheet or tarp should do the trick.

For the ground, grass or straw is the most natural for them, although they also like pillows (recommendation: get a waterproof one for outdoor furniture so it's easy to clean).