The difference between the closed cell and open cell forms are as follows (exerpted from wideGEEK)
There are significant differences in the characteristics between open-cell and closed-cell foam backer rod. The closed-cell version repels moisture, provides a firm finish to the gap, and can be set into place with a spray adhesive. It is commonly used for smaller joints in the 1/4 to 3/8 inch (6.35 to 9.52 mm) range, and it possesses a higher insulative value than open-cell forms. Caulking or other chinking materials will not stick to it, which allows free and independent movement in the building materials and the chinking material.
Open-cell backer rod products are very easy to install because they are softer and more pliable than closed-cell versions. Large diameter pieces can be compressed to fit into gaps that vary in thickness in some areas. This type is designed to be used only indoors, and does not possess insulative characteristics that are as good as its closed-cell counterpart.
generally the smaller diameters are sold by the roll, and thicker diameters are sold cut into standard lengths.
For gluing look to contact cement, 3M spray 74, or other foam adhesives.
For painting, it can help to coat first, rubber undercoating, plastic dip, and flex coat are options. I have also wrapped it in muslin, super 88, and other scenic coatings, so it isn't bad to work with as long as you keep in mind that the paint will flake off if applied directly.
If you want more information check out this PDF. It talks about teh history, open versus closed cell, and how to use it (as an expansion joint filler, not theatrically).