My experience with the expanding foam in trying to make stones, is that it has the tendency to look really extruded, and even dog turds.

IMHO, I love painting faux bricks, and it works great, but only if that highly theatrical style is consistant with the rest of the design. 

It also depends on what KIND of stones you're making.  There's field stones, flag stones, red brick, flat stone. 

I've only used the following formula for the natrual ones, like the flag, field or flat stones. 

If it's realisim you're aiming for, then  you can get some sheets of that blue foam insulation stuff, and cut stone shapes from that. 

If you paint it just like that, it looks like painted styro, lame, I know.  And then it looks like fake stones at the community theatre.

One technique that's kinda fun is to sculpt the blue foam stones with a knife a little.  Round the edges, make some nicks and cranies, sandpaper helps in the rounding / finishing.   You probably don't want to spray paint it because it'll melt. After the weathering is done, you can coat the styro in strips of musin and use white paint as a binder.  After that drys, you can go in with low tone, mid tones, and highlights, a spattering of the low tone color will give a bit of  coolness to it.  I usually lay them all out at once and do the spattering that way.  You could even if you wanted do a light spattering of the highlight color as well.   The muslin also makes them a little more durable.

Since they'll be placed on luan, a good industrial hot glue gun would work, and it can be easily scraped off!

In scrounging through a stack of the dreaded stock scenery, I encoutered 5 4'x8' sheets of plywood that had bricks carved into them. 

And so I inquired about these, because they looked fabulous; someone was bound to know what they were all about... or how they were made because community theatres almost always have a long memory about things.

And this old man told me, he was there the day they were made.  Someone marked out a grid onto sheets of plywood, and then routed the 'mortar' out, leaving, raised rectangles that looked like brick, not 2 feet away.  Apparently the sawdust piles were tremedous, and the old man seemed to think that these piles should have won some sort of award...he probably would have preserved them for posterity if he could have. 

At any rate, while time consuming, its yet more e plurabis unim of ways to make faux bricks. 

You can also use paper mache and just apply it directly to your flats, it might be hard to get off tho. We have used it a number of times for large stone fireplaces, and to make stone columns for a lodge

These fumes are VERY bad for you... as in long-term cancer causing and in the short term can cause severe photosensitivity (sunlight becomes painful to your eyeballs) that can last for days and cause permanent eye damage.  If you must melt foam with spraypaint, wear a full face respirator... not just a mask.  Still this is not a safe technique.  In the 60s a lot of theater folk melted lots of foam and did lots of crazy things with products that produced lots of fumes.  I know many of them who can trace very serious health problems including certain headache disorders, color blindness, and breathing problems directly to these practices. 

Another great source is www.fauxwallskins.com.
Our product is 100% eco and looks great. The best brick skins are made of fiberglass, but they are heavy and toxic and expensive.  The most affordable is vacuum form but they are hard to work with and crack.  Our brick looks like fiberglass, has a nice thickness to it, is rigid and is the same price as vacuum form.