You know, thats a good question and I must say that youve gotten at leaste a couple of good answers already. Still, I thaught that I'd throw in my two pesos worth.
Having built a big bunch of foam wings and cut a few for other modelers, I'd say that IN GENERAL (And almost allways!) a foam wing will be heavier when finished, than a built up structure.
The last time I had this conversation with Bob Hunt he said the same thing, as have Jim Greenaway, Winfred U. and a raft of others. I have found this to be true in my own aircraft but I still prefer foam wings. Why?
1) A foam wing can be built straight almost 100% of the time.
2) If you build a straight foam wing it'll stay that way forever. If forever is too long to contemplate, I'll just say For the rest of your life. OK?
3) You can build a foam wing VERY quickly.
4) They are a snap to finish. (Just try putting a super-duper dope finish on a built up wing and a foam one. Keep track of your hours and compare!)
5) Foam wings are less likly to suffer damage in day-to-day use.
6) When damaged, they are FAR easier to repair.
7) Once you know what youre doing, it is entirely possible to build most models LIGHT ENOUGH that the extra weight won't matter. There are plenty of builders who are capable enough that weight, in general, is not much of a concern.
The fact is, that most non-expert builders weigh down thier models with too much glue, too much paint and use wood that is far to heavy to acheive a result that could be considered 'light'. I won't even address the idea that one should build something strong enough to survive a crash!
Select your wood carefully, refrain from overbuilding, use only enough glue to hold things together and sand everything including the paint.
If you still crash a lot I would definately reccomend a foam wing, simply because you'll need several aircraft to reach the no-crash zone and foam wings build faster than a built-up structure, though the latter may be more repairable.
Once you reach the point where your planes last a year, or two, or three, or more, you'll be at a place where your building methods will be left up to style or persomal choice. There are plenty of guys who build one plane a year and still have a basement full of "Old planes".
If you want to build a light foam wing, try these tried and true instructions. Some of this technology comes from Bob Hunt and others and some comes from my experience.
1) Buy a wing from one of the several experienced cutters listed. In fact, buy a couple of the same design.
2) Have your wing triple cored.
3) Make up your skins using the tape/CA glue method.
3) I make up my skins using 1/16th X 4lb Balsa with the Frontmost grain running parallel to the LE.
4) Block sand the sheeting evenly. (I use 320 and just sand it untill it's about 1/20th thick and super smooth. In other words, just sand it till you think that its too thin and then stop. It'll be just about right! Try NOT to sand the sheeting after it's applied to the core. If you do, be very careful!
5)Use 3-M adhesive to attach the skins. I have used epoxy for skinning but have had my best, lightest results using 3M Spray Adhesive. It weighs almost nothing and properly applied (Very sparingly!), will hold for many Years.)
6) Remember to vacume the sanding dust from your sheeting. Then vacume your cores before spraying the glue and placing your core in the saddle. Then, apply the skin smoothing it down with a towel. Complete one side, at a time. Pay attention.
7) Make sure that the sheeted skins are centered in the saddles. Place the saddles on a FLAT surface and weigh them down with a few books for several hours or overnight.
Next day you can install your control system, join the wing halves, glass the center section, sand the glass and install your leadout guide and tips. If you dont get too fancy, you'll have a finished wind in two building sessions. Try THAT with a Nobler wing! A few of you guys can build a ribbed wing that fast but not many. Of course, an I-Beam will build that fast but man, sanding those rib bays... LOL!!!
If youre really smart, you'll assenble, silkspan, fill and primer your foam wing before installing it in the fuselage. If you build and prefinish your airframe as parts, before assembling the plane, you will find most of the building chores much easier to accomplish and easier to do better.
Furthermore, if you prefinish your components and keep track of the weights, you'll be well on the way to knowing in advance when you are building a porker! It's a lot less discouraging to throw away a wing or a tail section, than to have to build an entire new airplane because of overweight construction.
Bagging you wing is a good idea, though I don't know anyone who has felt the need to invest in that technology. Cutting your own wings is neat too but if your experience is similar to mine, you'll cut a bunch of wings before you cut a bunch of GOOD wings. I can cut as well as anyone but it's worth my time to just shell out a few dollars and buy a nice core ready made. Borrow someones foam rig and try it out before investing your money. Then do as you like. It's a hobby, right?
LASTLY. Light weight isnt everything. Every model has a WEIGHT RANGE in which it flys best. GA said that all of the really good Noblers that he saw, weighed between 46oz and 52oz with a Fox 35. He said that the heavier Noblers have better penetration and therefore fly better. Who am I to argue? I have one that came in at less than 38oz with a high zoot dope finish. GA told me that it wouldnt fly worth a darn and he was right. I'm more and more tempted to take his advice and spray on a few more ounces of clear and buff it up. I'm convinced that it would make for a nicer flying, more stable model. Right now it's just a beautiful office decoration!
Good luck with your building!
Just kidding. 
