I cut them out of a pair of white denim jeans. On the real wings, there is a seam running down the left side of the right one a couple of inches in. I'm assuming this is what they used as well.
I didn't stitch them on because his don't look stitched. I used liquid stitch adhesive. Holding really well and allows the edges to come up a little bit like Daryl's do.
From your avatar, it looks like you are making the ears necklace?