The foam requires heat during curing process. Wax won't work.
My initial thought was to do what you have offered, however upon contacting a company in Canada, he said I should be able to mill the foam. I flew to Calgary and saw his system, and it worked, however, the foam he had available was closed cell and much more dense. (Both of which make milling easier) But I was intrigued enough to work on a solution and I haven't hit a solid wall yet. I'm still not convinced I'll need the freezing, but I know that it would help me at this stage.
Making a mold for each one would require either a different foam process or be so costly that it wouldn't be a feasible proposition for patients. I could never ask a patient to pay $6,000 for a pillow, given that each mold would cost $5K at least. Then the cost of production afterwards, then demolition of the mold. Not only that, but I want to be able to insure that I guarantee the pillow's efficacy. They won't be cheap, and I want to be able to 'fix' the ones which don't work for patients.