I made 3 "outfits" that were worn layered by the 2nd grader. All were made from fabric cut about the length from the student's neck to her ankles, I think about 49". I just seemed up the selvage most of the way, turning the rest of the seam under to finish for an opeining, put casings at the top and bottom and inserted 45" shoestrings so they could be drawn up around their nect, and a little at the bottom, though they can't walk very well if the bottom is drawn too much, and cut pretty long slits in the sides and turned under to finish for armholes. The top layer was the caterpillar, made out of a pretty bright green light print. I happened to find some black dresses on sale for $3 at Wal-Mart that had skirts made of 4 sheer ruffles. I cut the ruffles off of the elastic band, and sewed them on the "dress" to have a fuzzy caterpillar. I actually left the opening on this one most of the way down and put a square of velcro about half way down, so she could wear this one to open down the front to be easy to remove. The ruffles covered the opening any way. The next layer I originally made to be the grub worm in the program but decided to use for the cocoon due to lack of time. I had some brown flannel left from previous reindeer constumes. We soaked a package of cheesecloth in tea to color it some. I stitched the cheesecloth across the flannel in rows before stitching the seam, folding over or overlapping about an inch, making lines to look like worm ridges about 5 inches apart, then completed the seam, casings, and armholes. For the butterfly, I made a black "sack" as the others, to be the center of the butterfly. I used some black lining fabric as a base to the wings because it was cheap, and I needed something to design the wings on, plus I wanted the black edge about 1 1/2" wide around the edges. I cut a pattern out of cardboard about 59" long to use for the wings. Wal-Mart has some gorgeous sheer "rainbow" looking fabric. I doubled this fabric so the colors would show up brighter, and cut so the "stripes" in the fabric followed the angles of the wings, and also matched upper and lower and each side. I then used wide seam binding around the wings to attach the sheer so they had a finished look. I sewed a black velvet ribbon that I had across the wings where the fabric met and to separate the top and bottom sections of the wings. I attached dowel rods sticking up in the center of the highest part of the wings. Since they kinda wanted to fold, I attached a straw across each wing where the width allowed. Since the back of the wings were black, I took one wing and wrapped it aross the front of the costume, folding the top of the wing over the opposite shoulder far enough down so the dowel rod was just below the shoulder, so she could just reach over her shoulder and grab it. I did the same with the other wing. I did put a little square of black velcro to hold the sides of the wings to the costume where they overlapped towards the back of the neck. This was constructed so the student could make each transformation totally independently, but she actually had another "bug" standing close to assist as needed, pulling the shedded layers out of the way and making sure she got ahold of the dowel rods. The program was a huge success with lots of "Ahhhhhs" when she unfolded her wings. Hope this is helpful.
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Is there a cocoon involved, or do the wings need to just appear out of the costume without any intermediate step?
Some additional questions: How much sewing experience do you have? Roughly how much money are you willing to spend on this? Does the actor need to do anything other than speak and shuffle across the stage (i.e. climb stairs or ladders, hold objects in their hands, lie down, crawl under things, etc) while wearing the caterpillar costume? Is the actor an adult or a child? How long is the actor portraying the caterpillar before the change to a butterfly? (that is, is the play about a caterpillar who turns into a butterfly at the end, or is it about a butterfly who briefly starts out as a caterpillar, or does the change happen about halfway through, or is the play about something else entirely and the caterpillar/butterfly is a supporting character who is only onstage for a short time, or what?) Are there any other characters onstage during the transformation who could help out? All of these may have some impact on the design of the effect. That said, jtobako's idea of a tube is good, but I'd make it a solid tube instead of using a zipper down the side, and secure it around the actor's shoulders/neck with either a drawstring or gathered elastic. When time for the transformation comes, the actor can simply pull the drawstring to untie it so that it drops to the floor, or pull the elastic downward and just step out of the costume. For the head, you can use a "mob cap" bonnet to cover whatever the butterfly's headpiece is. To give shape to the costume, you can use semi-flexible vinyl tubing (the white stuff, not the clear stuff) from Home Depot to make hoops (like a hoop skirt) that secure to the inside of the tube via rod pockets or "belt loops". You can even make the tube non-cylindrical and use hoops of different diameters to make whatever shape you like. The hoops will also help the tube fall neatly to the floor when the time comes. I'd recommend using microfiber fleece to make the tube. It comes in a huge variety of colors and patterns and is cheap and machine washable. If the actor needs to use their hands, just make a couple of oven-mitt-type mittens and attach them to the front of the tube like short sleeves, then make 6-8 more, stuffed with polyfill and attach them in two vertical rows down the costume directly under the "working" mitts. To help "sell" the transformation, the butterfly costume (which is worn under the caterpillar costume) should be as different from the caterpillar as possible, i.e. if the caterpillar is green and yellow with red spots and pink "hands", then the butterfly could be royal blue, purple and black, with wings made of shiny metallic crepe. If the transformation can take place by going behind a drape or a piece of scenery to mask it a bit, the butterfly wings can be separate from the rest of the costume, and hidden behind the masking to be slipped on like a backpack. For that, you can use the wire-supported "fairy-wing" style that leaves the actor's arms free. If the whole thing happens in full view, go with fabric flaps attached under the arms (basically a cape with arm loops), but extend the wings a foot or two past the actor's hands and put some dowel rod in the ends for the actor to hold onto. This will make the wings appear much larger than just draping the fabric from the wrist to the shoulder. I'd go with at least a half-circle, but 3/4 circle would be even better. See the attached picture of Ace Frehley for an idea of how the cape would work.
Use a tube with a zipper for the caterpillar costume (like a sleeping bag), have butterfly wings as sheets of cloth under the arms.