I searched the web for ways to make fairy wings for my daughters and this site was by far the best one I came across: http://hubpages.com/hub/fairywings
It makes the process very simple and straightforward. The materials needed for it don't look very expensive either.
My six year old and 3 year old daughters love to dress up as fairies, but I am unimpressed by the fairy wings that usually come with the costumes. Making our own seems like a great solution!