I have some Sesame sheets too, that I can't decide what to do with. I was thinking of making pillows out of one, it's got most of the monsters playing instruments. Or maybe pajamas? I hope you post what you make.
I have a friend that carves awesome wings out of foam rubber. Her deviant art page is here http://ukonzukai.deviantart.com She is also on some cosplay board, but I don't know which one. Good luck with the wings. The costume looks great so far!