Try with water pipe covers:
In many stores you can find them, they are for keeping hot water hot, and its like foam... I have never test it, but it may work 
The problem is that (from my past experience) those are usually too large (in diameter).
I wrapped mine in foam rubber which I bought from a local bike shop (normally used for those long twisted handlebars).
The end result looked like this:
(Those at the bottom)
The grip is great but maybe a little more sticky than usual so you might wanna get used to it first.
P.S.: I recommend taping both ends of the sticks with some duct tape so the rubber won't slide off over time.
(Also don't glue the foam to the stick because you may want to restring them some time so you can always strip the foam off.)
