The round coolers normally used for drinking water are not air tight - they can't be, because they have to let air in around the lid to prevent a vacuum when water is drained out at the bottom. This is not a problem when the cooler is full of cold water, because air cooled by the water will tend to sink, not rise. Of course, when using a cooler as a MLT, this ventilation around the lid allows hot air to escape. Reducing the headspace above the mash greatly reduces the amount of heat escaping. You don't even have to have the foam in direct contact with your mash, as long as you can minimize the headspace and prevent hot air from escaping (it doesn't have to be totally air tight). One thing I do, which I haven't seen mentioned is to wrap my ball valve with a towel to prevent heat being conducted out through the brass. And +1 for preheating the cooler, and starting with the strike water hotter than you think you need it.