I take great pride in my cosplay and fursuit wings and consider them one of my specialties. Most costume bird wings are made from felt fabric, galvanize steal wire to make the pose-able, then either feathers or fur to make them soft and beautiful.  
Fursuit arm wings are made from super soft faux fur, fleece, and foam. 
Dragon wings are made from a variety of different fabrics

with a wire frame and foam scales/detailing.
All wings can be made with either elastic, satin straps or a harness.