Well, I stumbled upon this way of making wings just recently. Its a nifty and easy way to make wings, at least I think. This involves the use of layers in Paint Shop Pro (or any other type of paint program that can use layers). Soooo basically, if you don't have any painting programs that can use layers, just stick to the old way of making wings ;)
   Please also note this tutorial is of my own design, and is therefore copyrighted by moi. Please don't redistribute this on any other webpages, but I always welcome links!

Ok, its best to complete the rest of your doll first. Also, have your layers and tools options tool bars open tool. As you can see here is the fairy that I created recently (without the original wings). First, you will need to make the background transparent. So, drag a selection around your doll, using .

Make sure your background color is matching your background color on the color palette on your right (as I have pink as the bg color). Now, to remove the background, click the ctrl + t keys on your keyboard. A dialog box will pop up. This is to remove the background color from your image. In the left box, scroll to background color. Tolerance should be 0 or 1, it doesn't really matter. Click OK. Your doll will now look like this (or should). Now, copy it using Edit Copy or the ctrl + c keys on your keyboard.

   Now, create a new layer for your doll, either through the menu bar or the layer tool bar. The background of new layers are always transparent, so all you have to do is paste your doll into the new layer, by hitting ctrl + e on your keyboard, and place it wherever you want to - but leave enough space for wings.
   Now, go back to the original layer that the doll was on, drag a selection around it as before, and hit the delete key on your keyboard, or ctrl + x (because you no longer need it on that layer - its simply a background color layer).
   Now, create yet another layer. In the layers palette, click on the wings layer and drag it below the doll body layer.

Now, choose what color you want your wings to be. Remember, fairy wings tend to be see-through, kind of like dragonfly wings. So whatever color you choose keep it light. Then, you can draw in the outline of your top wing, bottom wing, whatever kind of wings you want to really!
Use a lighter color to fill in your wings. Make sure they connect all the way around to make an enclosed area, or else it will fill the entire layer. If that happens just hit undo.
Here comes the fun part :D. With your paint brush tool selected, go to the tool options. Make the size of the brush larger than one pixel, lets say 6. Then click the gears (the middle tab) in the tools options. Turn the paper texture to Clouds. Also make sure the wings layer is selected before you start to draw. I find it easiest to first drag a selection around the wings, and then click with your left mouse button anywhere on the wings. The selection will automatically conform to the edges of your wings. You could also stop right here if you wanted to! My wings right here look very nice to me.

   Choose a shade/hue/tint of your original color, but not too dark. Sweep the paint brush a couple of times through the wings (all over). Now, choose one more color and do the same thing, trying to get the gaps perhaps that you missed before, or use a smaller paintbrush width. The cloud paper texture is just what it says, gives the color a texture look.
   Click on the retouch tool . Go to the options for it, and make the pencil size, lets say 3. Then click the middle tab, make the retouch mode smudge, and make the make the paper texture clouds again if it isn't already. Now, just sweep over your wings in different directions and such.

Now, your wings should be basically done. You can also make your wings more transparent by messing with the slider in the layers palette, but you don't have to. My wings turned out ok (in the original) and I didn't want to make them more transparent. Just remember to do the other side of the wings! I just didn't show you that here :D    Also note, whatever your background color is, your wings might turn out a tint/shade/hue of that color. That happens when you make your wings have a bit of transparency using the transparency slider in the layer palette. Just a warning, so make sure you save in a different file every step of the way - great insurence! Then when you are satisfied with your finished product, you can delete the other files.