Many, many, MANY years ago, my mother made them out of a simple cone made from a half-circle of cardstock. She stapled elastic thread that went under our chins to hold them on (boy, I hated hats that fit that way) and made fringes out of tissue paper for around the bottom edge and for plume-y things out the top.
Keep in mind, this was probably 40 years ago and papercrafting supplies and embellishments were somewhat more limited than they are now