Fleur, for the wings, I'd use yellow or white fabric and dye it. Basically, you cover the parts that you don't want the dye to soak into with hot wax (start with the black dye) then you peel it off once the dye dries. At that point you could just drip the other colors into the spots they belong in, and the black dye will hold them into those spots.
Don't take my word on how to do this at this point, as I just remember it vaguely. I'll see if I can find the book I read about it in if you want to try this method.
A more epic method would be feathers, but that could be very costly, both monetarily and time-wise.