Craft foam and fabric. Or card stock and fabric. Or heavy fabric like felt. You could even use feathers.
Make a pattern out of paper to determine the size, then use it to trace and cut your chosen materials. Remember to flip the pattern for the other wing. You can attach the wings via toupee clips (do a Google search if you don't know what they are). Her wings appear to have two layers, so you may want to attach two thin layers of fabric covered card stock.
I hope this gives you some ideas...good luck!