Personally, I would make the wings by cutting each 'feather' from 2mm foam, shaping it with a heat gun and then Plasti-dipping it. Then assemble them all together on a base, prime and paint. It'll be super lightweight. You can also do the shoulders the same way.
To get the rounded edges in the foam, cut the pieces at a bevel and then run the heat gun gently around it. The heat will smooth out the edges and round them over. Also, use brush on Plasti-dip - never spray.
Cheers!