For my mechanical angel wings, I used some of that posterboard you can get at Ac Moore for about $6 for a 5'x5' piece. I then used wire (coat hangers) to make the general frame or bone structure of the wings and then glued the posterboard in between as the sort of 'webbing'. I then spraypainted them to give them that shiny metal look and it worked out awesome. Sorta like this cosplayer's wings:
And they were quite durable. I was walking around for a good 7 hours in that costume with fellow cosplayers knocking into the wings (as to be expected). Yet they still maintained their shape so I was quite happy.