How about wire and foil? Imagine modeling each 'wing' in a computer - use the wire as a wireframe mesh for each bent surface (solder works great for this, or copper wire) and then 'wrap' the frame with thin foil (think wine bottle foil.) You can then bend and smooth the foil until it is taught, smooth and into the shape that you'd like. If you're concerned about straying from paper, the other thing I've done for dioramas is use steam to help soften and bend paper into shape (usually for large rocks, tree trunks, or other background items.)Even a morning shower is enough to get thin cardboard pliable! My only other thought would be some kind of paper mache type approach with lighter weight tissues, though I must confess I don't have experience with this medium and so wouldn't be much help.