Guy,
Like Michael, I have also made many lost-foam castings in dry sand, with no problems. I used the smallest grain sand I could find – almost like dust. I also used some quartz sand such as is sold for swimming bath filters. Make sure the pattern is well covered by the sand – if it is too close to the surface, then odd things happen. I assume the that as the foam evaporates in the heat, either the resulting gases 'explode' through the sand, or the sand collapses into the void. If it is buried a few centimetres under the sand, this doesn't happen.
I also use the rigid closed cell foam as mentioned by John Purdy. This stuff can be cut with a fine saw or hot wire, and can be sanded to a smooth finish. The white bead type foam is useless. You can make complex patterns by gluing together pieces of foam using hot-melt glue. No draft is necessary on the pattern.
The principle is described in many places online. This site gives a good description of commercial application: **LINK**, It mentions using a ceramic coating to form a sort of 'skin' to reduce the roughness caused by the granularity of the sand. Since I couldn't get hold of any kind of ceramic dip, I tried a suggestion I found online that coating the pattern with a thin coat of latex paint also gave satisfactory result – it does seem to work.
As John says – don't breath the fumes !