This is the basis for my FF X-2 gun (for the Gunner Dressphere). I'm using it for my Paine costume, but Yuna's is exactly the same, as far as I can tell.
I made a paper stencil first and then drew the outlines onto rigid insulation foam (extruded polystyrene foam). Mine was 30mm strong (a little more than 1 1/8"), which is perfect for this prop. I cut it out with a sharp blade and carved down the foam to get a 3-D shape. (I recommend protecting your left hand with a leather glove while cutting with the right hand - or vice versa. Nasty cuts... I learned my lesson).
The details & filigree parts were added with heavy cardboard (glued into slits & holes carved into the foam).
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