This is how the ones we used to use on catamarans were made. The feather is glued into the back end of of a small chunk of plastic or metal tubing. A counterweight (which can be anything that works - a stack of washers on a bolt, a pin with a lead ball, etc.) is stuck into the front end of the tubing chunk. It can either be fixed, or threaded for in/out adjustment for balance. A pin runs through a small vertical hole in the tubing and connects the vane to a base shaft (more tubing, dowel, solid aluminum rod, etc.) and the vane can either sit on top of the shaft (deck mount or masthead mount) or hang below it. Putting a right angle bend in the shaft would allow installations such as protruding forward from the front end of the boom into clear air on a lateen.
You can certainly make a decent fly with no more than a strip of Mylar, creased down it's middle for stiffness and free to turn with a tubular hem wrapped around a vertical post. But, the nice thing about having a counterweight and being able to adjust the balance of the vane is that it greatly reduces the effect of gravity throwing off your readings as the boat and concequently the mounting post heel over.
If your feather gets kind of nasty looking after a while, hold it over a steaming tea kettle for a couple of minutes and it will usually come back to its original condition pretty well.