I followed the tutorial I found here to make paper feathers. All you need is some paper (I used sheet music, but old book pages would look cool too), scissors, glue, and metal wire. My metal wire wasn't very thick so I used two pieces for each feather.
Cutting two identical pieces of paper the shape that you want your feather, glue them together back to back with the wire in between. Then cut a very thin strip of paper and glue as you wrap it around the remaining wire.
The last step is to cut a bazillion tiny diagonal slits up and down both sides of the feather being careful not to cut all the way to the wire.