I was going to suggest a cardboard roll too...or maybe taping two together so its nice and thick? I guess if you cut some bone shapped ends out of cardboard then cut two slits into the end of the tube(s), the bone shaped ends could slide in. Then it could be covered and decorated.

Foam idea is a good one too. Can set polystyrene sheets from Clark Rubber really easily - they will cut to size for you.