I start with a metal frame made out of fencing wire.
I like this wire because it's easily bent with sustained pressure, but won't bend if it just gets hit. This is important for the wings because they'll get bumped a lot as you walk around with them on. I use three pieces of wire then crimp and solder them together to make the places where they join strong.
The first three pictures are different views of the frame.
Then I wrap the frame in fabric matching the color of the wings: white in this case. This is in pic four. The frame doesn't provide enough places to anchor all the feathers, that's why the fabric is important. I'll hot glue the feathers directly onto the fabric and use the way the fabric is cut as a guide for placing the feathers.