I tried this last year and it didn't work out as well as I had hoped. This year, I built a frame which would friction fit between our brick window-casing on the front of our house.
The frame was made to roughly match the window style (frame with a cross in the middle) made out of 1x4 material. I bought some industrial velcro and ran a strip vertically down each outer edge of the frame. I'll take a photo of the frame and put it up here tonight.
The wooden boards were made out of rigid insulation sheets that you can get at any home improvement store. I cut them about a foot longer than the width of the frame to allow overlap and to allow them to be mounted on odd angles. The steps were pretty easy: 1. cut out a strip of foam to whatever width board you want, 2. use a knife to cut the edges of the board, 3. use a pen or blunt object (or a knife) to trace/cut the grain of the wood into the foam, and 4. paint them up! On the back of each board, I ran a piece of velcro (opposite side of what went on the frame) horizontally about 4 or 5 inches on each side of the board. This allows me to position them at various angles between the two vertical strips of velcro on the frame.
For the paint, I painted them with a dark brown base coat and then lightly dry brushed them with a lighter color brown. I could have spent more time on them, but I needed to move on to other projects. Busy, busy!