First off you need a dress form of your body. mainly torso. old T-shirt, duct tape, scissors, wadded news paper, trusting friend.
Armor: EVA foam, resin, and paint. (need a heat gun to shape EVA)
Sword: insulating sheathing, resin and paint.
Sheath: Stacked EVA foam and hollow out center, glue, resin and paint.
Wings: consider ostrich feathers if you want real feathers or white craft foam and attach to arms.
Hope that helps.