There are loads of wing tutorials online; the forums themselves have a few as well:
It all depends on the look you're going for and what you want out of them. Do you want realistic wings? Maybe feathers are the best choice. Or maybe you want to emulate the flat, cartoon look? Foam might work better. I don't recommend paper wings, as the material itself is flimsy and easily ripped or damaged.
I think the biggest concern you should have is how you'll attach the wings. DCAU Hawkgirl has a strapless top, so there's not much to conceal an over-the-shoulder harness. I think figuring out how to mount your wings would be the most important obstacle, you can figure out the style of wings later once you have a framework.