I would definetly use a thin hairband to keep them on, you can get a them pretty much anywhere. as for the fins thenselves you can either use craft foam (they would be opaque) or if you want them more transluscent you can make them out of a sheer green fabric and wired ribbon.
Morrigan - Darkstalkers
Sailor Neptune - Sailor Moon
Carmilla - Vampire Hunter D
Haydee - Gankutsuou: The Count of Monte Cristo
Barioth Blademaster - Monster Hunter
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