Start by using short pieces to cover the ends that won't be covered when you wrap the twine around each arm of the cross. Glue these short pieces in place before you begin the wrapping of the twine.
After you've completed your "x" shape - you may still have a little foam showing out. I cut very small pieces and hot glued them underneath the "x". You can see in the photo above that on the right side, I've already done this and there is no foam showing.
Hot glue a loop of twine to the back to hang your cross.
I really like how this turned out and love it just the way it is. However, I have contemplated making a crown of thorns and hanging a purple sash on it - would you leave it plain or make a couple of extra things to go with it?