On EBay, "100pcs 5mm x 1mm Disc Rare Earth Neodymium Super Strong Magnets N35 Craft Model" US $2.99. Superglue them into your foamboard terrain pieces to keep them together.
Space Hulk boards have nifty jigsaw cutouts, I decided not to bother when I made my own, but they do slip and slide more than one would like. Magnets easily solve the problem:
Since the magnets cost 0.3 cents each, you could probably afford to use twice as many to enhance the structural integrity of your Hulk.
You could cut slots in the board to leave the magnets flush, which would not increase layout sizes, and would be more secure.
1x2mm magnets also work. Level 7: Omega Protocol had boards which fit together in different ways, so you need multiple magnets at 1" intervals. Superglue isn't good with paper, contact cement might be better: