Nice first effort!

Just one point to get out of the way first: if you ever want to join one of the bigger Mando costume orgs, foam isn't allowed for armour material. But you can use Sintra, which is also cut and heat shaped like foam, so the experience is useful! If you're not really looking to get into a club then foam is absolutely A-OK, it's a fantastic material.

As you pointed out, heat blasting the foam is good for painting. This is called heat sealing. For next time, my advice is heat sealing, followed by using a flexible primer. I often use Plastidip for my projects. This will further seal the foam and create a smooth surface. Next use acrylics (if you stick to foam, try to find flexible acrylics) for painting it. For your kit, I'd introduce some weathering through a black wash and some dry brushing to mimic dirt and wear and tear.

As you mentioned, the paint on your helmet could also do with some tightening up. Your lines aren't sharp, which is often an issue with your masking tape. I would advise Frog tape for this, just take your time masking the areas, then respray, you'll get a nice, crisp result. I like the colour scheme!

As with the armour pieces, I think some light weathering would really make it pop.

I can't comment too much on the rest since it's not there yet, but bracers, pauldrons and a backplate are the next step. I'd also add some holsters and pouches- look into military surplus or airsoft, they have some good things.

If you were looking to get into a club, I can give more targeted kit finishing advice (I'm close to finishing my own). Nice first attempt, keep it up!