Oooooh those are COOL, what a fun challenge!
First off, unless you articulate these wings, they're going to be pretty hard to maneuver with given the size. Just something to think about when you're designing the base rig. I'd just start researching large angel wing tutorials in general, because when it comes to basic structure the principles are the same.
Thermoplastics sound like a great way to start, since you'll get some light diffusion from that. Worbla's TranspART might be worth looking into, but if you're okay with a little weight to these wings, I'd maybe look at (really thin) acrylic.
The trickiest part for the plastics here is honestly the fact that it's a fiery gradient. You can definitely dye Transpart with poly fabric dyes, but it'll take some work to straighten out your pieces and keep them rigid (though I think that's doable). The acrylic won't have the wavy/bendiness problem, but I'm not sure about how to get that gradient, except for maybe airbrushing or careful hand-painting with a translucent paint?
There are a handful of other threads floating around here in the Props subforum that are worth checking out-- definitely search "LED", "Lights", and "diffusion" for some examples of how people handled this effect on other props.
And please, let us know what you try, and what does/doesn't work!
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