I did mine out of gumpaste. They aren't as thin as you would like (I wanted them thicker to put the wire in), but you could easily make them thinner. In hindsight, I could have made them thinner since the bodies covered where the wire was anyway.
http://cakecentral.com/modules.php?name=gallery&file=displayimage&pid=1760094
Or I have seen some done out of gelatin. I don't know how to do those.
http://cakecentral.com/modules.php?name=gallery&file=displayimage&pid=1265096
Here's a link to a tutorial on realistic butterflies. I've been wanting to give it a try, but haven't had the chance!
http://cakecentral.com/articles/76/how-to-make-realistic-edible-butterflies
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