Clay would be fine once baked...though you'll definitely want to seal it with something. I'd say glaze it, but that would make for a slippery surface. Clay will be heavier then a foam grout structure, and probably weaker (depends on how you make either one). But nothing says it won't work...so have fun and good luck!
Working with foam is super easy, and fast. Using a sharp knife to make cuts will almost eliminate any serious mess. Its certainly less messy then working with wet clay, and definitely faster. Clay has an advantage in the shapes you can make..so each method has its ups and downs. Make sure to take pictures of whatever you make out of clay!