My idea of a case was more something like that http://www.technologytell.com/apple/57482/iphone-4-cases-2/ (the first picture on the webpage). Something I could slide the phone in and out. Then I need to wrap the CF around a male model of my phone. A dense wood would definitely be better but the balsa helps me to obtain the right thickness as I will cover the inside of the case with some soft fabric to protect the phone.

You are on the right lines with the wooden core, but I would model your part in wood, or machine it from aluminium or dense tooling material. Then I would make a female mould from it. For a phone case I would just make a top and bottom half and then join the two sections. 

I am trying to design a case for my phone (small project) and I thought an easy way to have the right shape would be using the PU foam cut to size, and dissolve it after the epoxy is cured.

what are you trying to make?

I was wondering if it was possible to dissolve the PU 80 low density model board in some solvents after having laminated a CF cloth around it ?