I can help with this. You'll want 12 gauge wire, which you can find in a fairly cheap and easily-bent roll used for farm fences at any neighborhood Value Village or other preferred hardware store. You'll also want two (or more, depending on the amount of individual wings you'll have) pairs of pantyhose in your preferred starting color.
What you do is you make the wing shape you want with the wire, secure it to itself using whatever means you wish, and then assemble all the wing components (individual shaped parts). Make sure they're all secure in the center of the wings, and then pull one pantyhose leg over one shaped wing. Stretch it all the way down, then cut the pantyhose leg off and hot glue it to the center piece. Do this for the rest of the wings, and then if any of the forms got compressed out of shape simply stretch them back. Now take any looser bits of the pantyhose and fold them towards the center of the wing, and then hot glue the pantyhose to itself in a fairly-flat manner. Do this for all the wings.
Now just decorate and devise a way to attach to your back. THis is how I made the butterfly components for my Grave of Maria mask.