I wanted transparent fins for my Crayon Bank rocket. If you ever had the desire to make plastic fins, this video shows you how I did it (running time 6m).
Be sure to use polycarbonate for fins since it is shatter resistant. Commonly available brands are Lexan® and Makrolon®.
As mentioned in the video epoxy doesn't stick well to plastic so be sure to plan for mechanical mounting of the fins. For the Crayon Bank, The inner fan can has ribs to the fins screw on to.
The NARHAMS club has a nice paper on working with plastics as well: Tech-Top 017.