Could someone give me pointers on how to sand and contour the wings (EPP/Depron).
What  is the sand paper spec and tools used ?

I couldnt get a nice how to on this..
Any videos would be great.

The first thing you would need to plan is the area and the depth to sand.
If you want to sand to a certain depth (say, more then 5mm according to me) then you use a coarse grained sand paper, if you need to give the final finish and smoothness, go for the fine abrasive paper. I think no.800 or somefink.
 Its  best to use a metal sand paper rather then a wood one, this because the wood ones tend to get blunt after a little use.
Secondly, while sanding, its a good practice to keep the job under running water constantly or "wet" as this greatly reduces your effort for "press sanding" and the dust too is not blown in air. (Specially if you plan to sand indoors)
Lastly, if you plan to sand large areas and want to get the straight, smooth look, stick the sand paper on a wooden scale or a wooden plank, shaped like a little cricket bat.
To get some idea please refer to my Mustang build,

Hope this helps.

-Dorwin

Did you say Counter wings?

Best done with a steady hand

Also, ensure that the rough shape is as close as possible to the final version. Sanding a lot just wastes the wood - if balsa and a lot of muck if its foam. And be very careful to sand foam outdoors. The fine powder is not to be inhaled ever - especially stuff like depron. So, first get the rough shape as close as possibleto what you want to and then do the sanding. Captain gave a very detailed approach some time back on this forum. Search these forums.

Thanks controlflyer and tg for the pointers.

@controlflyer - your sanding on Mustang rockz. you must have been Michelangelo.
Could you please confirm if running water while sanding helps on EPP.

@tg - tnx for mentioning about the fine powder, hadnt even considered that a mask would be need.
Couldnt get the thread detailing on the sanding. Could you please post the link.

My wing is 40x9 inches and 9mm EPP.
Template attached.
I feel sanding this entire contour by hand would be a bad idea and would not be even.

I'm thinking of making and using a hot wire foam cutter and then a 800(or so) sandpaper for the final touches if required.
Like shown in the video below..

Hot Wire Cut process using positive templates on Foam for RC
<http://www.youtube.com/watch?v=JfUKWTtpdi8>

Drone, the best way to sand, in case of this contour is to make a template and then after every 5 or 6 light sanding runs use the template to check the correctness of your wing.
And as for the running water sanding technique, you can just wet the sand paper and wet the foam instead of keeping the tap flowing.
Lastly 2 things, that will be benefited from this procedure, You will not need a mask as all the dust will be adhered to each other and form a paste kinda thing which will not be blown in air and you will clearly see the amount you are abrasing through this technique

Finally, yes, it works, make sure you use a very fine sand paper and one complete soft run on the side where you are sanding.

Somefink like this

Hey, any tips for thermocol?

yes Aneesh! same technique, faster movement and a fine sand paper

Cutting a template as show on cardboard or similar and then running over the wing to check is a nice idea. 
So this is called the Negative template ?

I went to the Local hardware shop and these are the the sandpaper grits available. (the black ones)
P80
P100
P120
P150
P180
P220
P320
P400
P600
P800
P1000
P1200
P1500

180(For Coarse) to 600(For Fine) may be a good choice for EPP/Depron.
Though in the grit scale P180 is considered as grade 'Fine' and P600 as 'Extra fine'. (Wiki)

Also read that water acts as a lubricant and declogs the grains.

For Balsa gliders, I first start off with 80 and then move on to 120 or 150 and finish with a 400. Sanding blocks made of pine wood (4" X 2" X 2") are perfect for the job.

Please ignore this post as it is redundant. I just realised that this thread was about Depron / Foam sanding. Sorry.

With foam the best approach would be to use a hot wire cutting bow and get the near final wing. Then light sanding to smoothen the surface.

What is the best way to glue sheets of Depron/EPP?
Like stacking 5mm+5mm to make 10mm.

Would normal fevicol do ?

Yes normal fevicol available at the stationary will work great just apply thin coat on both the sides using card (old credit card works the best) most important see that there is no lamination on both the faces of depron you are trying to glue.

Apply the coat leave it for 15 minutes & then bond both the sheets.