The material is up to you. Just make sure it's stiff enough that when you sit down, it holds its shape.
The body, I would think, you would use an upside down lightbulb shape. Make it much bigger than your actual size, and long enough to cover your feet. You can either make the wings separate or add it to the body before, adding seperate would give more shape to it.
I can say much for the head, you'll have to ask someone else about that, sorry. Hope this helped and that your cosplay ends well!