For this banners I used as I said plastic card (plastic plate as it is called on a sicker of mine).
I've used paper for a banner once and it was ok but I wasn't fully satisfied.
The advantage of plastic card is that it's plastic - it's firm like a plastic miniature. This stuff is often sold by model railway stores but you should get it also online.
Now for the how.
You need to have a hot wire cutter (I have the cheep GW one (my local GW dosn't sell it I don't know why
but it is sold in online stores like Feenwald.net costs ~20€)).
When you start you have to cut your banner etc. out the shape you want it. Now it's like a piece of paper - flat. The clue is to rub the hot hot wire cutter on the place you want to fold your piece of plastic; after a time it gets warm and you can fold it.
You must take care of the cutter I don't want you to burn your fingers...
Also you should open the window or do it outside because it sinks very much. Also you shouldn't stop with the cutter too long in one place - it can melt the plastic into two pieces.
I always think very carefully about how my folds shall fall - when you have a clear image of how it will look when it's ready I start. Sometimes I also mark the places where I want to have the folds. You can bend it so many times till you are satisfied with your result. Now it can happen that there are brown marks of burned plastic on the surface or scratches - when you look closely on my picture you can see some tracks of it left.
No panic all can be fixed by some filing work.
With these folding technique you could do your wings I think - after a little practise maybe you should try one or two banners first.
Maybe my explanation makes you think it's very difficult - no it's very easy and the result is worth the effort.
Ah before I forget for my banners I use plastic of a strength of 0.5mm.
Suggestion: For your wings you could sculpt some veins on it.
Hope I could help you.