What I do is roll up thin strips of paper and glue them closed. For my 3d work, I typically roll those strips up into solid rolls -- without letting the roll relax or open into visible coils. But sometimes I do let them relax (don't we all need to relax sometimes?) and use those coils to make small things -- including the wings on my tiny fairies and these snowflake ornaments.
These are still quite small, at about 1.5" at their largest size, and are made using a pretty white paper with a sheen -- this paper is ornery, though, and doesn't like to stay glued down (hence my second pair of tweezers from the other day -- those tweezers work beautifully to hold the glued end of these little coils down till the glue is set).
These were originally designed to be a very simple snowflake -- something I could make a bunch of to give as gifts to family and friends several years back. Generally speaking, on edge quilling -- like these snowflakes, though these are made to hang and not be glued down to anything -- is not my thing. I love a solid roll, but not these coils and the shaping of them. But I do like these snowflakes and the design here and have been working on creating more sets of them in advance of the holidays. Go find them in my shop and get a set for yourself: http://runnerbean.etsy.com