Wind is a force that is unseen, aside from its effects. To make a wind costume, it will take some imagination and whimsy. Because wind is associated with the air and sky, the colors used for the costume can be white and light blue. The wearer's movement will bring much effect to the costume.
Creating a Wind Costume
Rip white and light blue fabric into thin, long strips. Make sure the fabric you choose is very flowing and will move like wind if you take a few strips and walk with it. The fabric should be thin and able to be ripped, such as a bed sheet. Ripping is much faster than cutting strips with scissors.
Sew each strip onto the shirt and leggings/pants/skirt. Add enough strips so that while you wear the costume, all the strips move in the same direction when you walk. Remember that the strips sewn toward the bottom should be shorter than the ones sewn at the top. You do not want the bottom strips to get dirty by being dragged on the ground. That will ruin the ethereal effect.
Create an optional headpiece by attaching strips to a white or light blue headband using the same technique. Or, if you have long enough hair, you can tie individual strips to pieces of your hair for an even "windier" effect.
Add glitter or other embellishments. Effervescent, light glitter can be added onto any of the strips to give them an even more ethereal look. Keep it light, though; if a strip is weighed down, it will not move. If you have made a headpiece, add the most glitter to that because the face is what people will look at most.