There are a lot of ways you could go about creating your own feather hair piece. A lot of the instructions that you can find on the internet are based around using a cheap wig for a base. Using a cheap hair piece you would need to cut off the hair and then attach the feathers using a hot glue gun.
This can be a simple and fun way to create a feather wig, but if you want to create something that is of a slightly higher caliber you are going to need to purchase a wig base.
You can buy inexpensive material wig bases online. Then you would just need to attach each feather with a simple stitch.
The basic idea is the same for both. You can either attach the feathers using a hot glue gun or sow them on. You start with the bottom row and work your way up. Each row of feathers should overlap the row underneath it. Use the longer feathers for the lower rows and the smaller feathers for the upper rows and bangs.
The top row of feathers should have the feather stem removed entirely.
Use colors and lengths as you please to suit your look.
Good luck, have fun and tell us how it comes out.