UPDATE: Kiteman made one of these with paper clips -- though I haven't tried making it, judging by the photos it looks pretty good.
Step 1: 3D Printing
Out of loyalty to Instructable I wanted to check out 123D, but they don't offer Mac support and the file formats they can import are not supported by the free version of Google SketchUp which I used for my drawings. So instead I sent my file to Ponoko, where you can get them for free (the files, that is -- you will still need to pay for printing them).
You will need to print this out of durable superfine plastic: most of the other materials can't be as tiny and precise as this needs to be. The printing came to $2.63 -- not too bad -- however the shipping was over $10. I would never have ordered this if I hadn't been itching to try out 3D printing and had the motivation of entering an Instructable contest. If you just need to see what 3D printing can do, this is a good project because the pieces are tiny and cannot be made in any other way. If you're just motivated by the toy, then you might be disappointed: it is fun, but in my opinion it's not quite $13 fun.
Step 2: Materials and Tools
Step 3: Check the Fit
Put the piece which looks like a hanger through the slot on the other piece, and see if it turns around easily. You may need to use a small file to smooth it out.
Step 4: Cut the Wings
Draw the shape of the wings so that the straight edge is over the second fold. The bottom wing should be 1 1/2" (about 4cm) at the fold, the top wing (the one on the hanger) should be 1 3/8" (3.5 cm). Draw them to be about the shapes as pictured. After you cut along the lines you will have two matching, symmetrical pieces of both shapes.
Step 5: Attach the Wings
Attach the two larger wings onto the other 3D piece so they are glued next to the hook.