I made these using flannel, following the tutorial in the link. I added seams down the center as channels to help them bend better without bunching up, which I recommend. They don't use much fabric at all so you could make a few out of an old flannel shirt and then boom it's free.
Now that I have worn/tested these, I'm going to modify the pattern and make the wings a little bit thinner (more strap-like) and make the back ends longer.