Another vote for printer paper.
Here's what I do:
Cut or pop out your fins and sand in whatever airfoil you want. I start by stack-sanding them to get them all the same size, then individually round the leading edges. For scale rockets I usually leave the trailing edge flat, since most scale rockets do that, but for sport rockets I usually airfoil the trailing edge.
Get a few sheets of printer paper. Lay a fin on the paper about 1/2 inch from the edge of the paper, usually with the trailing edge near the paper edge. Place the fin so it can be rotated over the LEADING EDGE toward the center of the paper. Make sure the paper will totally cover the fin (swept fins can be rather tricky because of the way they "fold over" at the leading edge. Once you're happy with the placement, lightly outline the fin in pencil, roll the fin over the leading edge, and gently outline it again. Sometimes you can get all the fins on one sheet of paper, sometimes a pair, sometimes you need a sheet per fin, depending on the size of the fin.
Spread an appropriate size dollop of white glue very thinly and evenly on the paper. The appropriate amount of glue depends on the fin size, naturally. Spread the glue very thin with your finger or an old credit card (the used up gift cards that accumulate on top of the gas pumps at Walmart work great, and they're FREE!) Place the fin in it's outline and press down firmly. Spread another dollop of glue on the other "outline" and once it's evenly spread and covered (be sure you actually go past the outline a little bit so the paper will be TOTALLY glued down), gently pull the fin and paper taut and fold the fin over the leading edge, and press it down firmly onto the glued paper.
Take a sharpie marker or other "fat" round object (I like Sharpies because the barrel is cylindrical and the tip is smooth round plastic) and then gently "burnish" the paper down, squeezing out all excess glue (there shouldn't be a LOT of excess glue, but SOME). Start from the leading edge of the fin and work the paper/glue toward the rear, from the center toward each end. This will ensure there are no wrinkles and the paper is on the fin TIGHT, and any excess glue is removed, since it only adds weight and isn't needed. Flip the fin over and repeat for the other side, from the leading edge to the trailing edge, and from the center to the tip and root edges.
If the fin is airfoiled, be sure you gently burnish the paper down to the tapered trailing edge on both sides, and burnish the paper down to itself just past the trailing edge.
Set the fins aside overnight to dry.
Once dry, trim the fins back to about 1/4 inch or less of paper sticking out from the edge of the fin with scissors. Get a SHARP hobby knife (new #11 blade works well) and gently 'shave' the paper off the edge of the fin, right up to the edge. OF course you only shave the paper off the root, tip, and trailing edges, NOT the leading edge. With a little careful work you can PRECISELY shave off ALL the excess paper and dried glue and leave the fin perfectly finished and ready for gluing onto the rocket.
If necessary, you can finish the edges VERY neatly with a piece of 220 grit sandpaper laid flat on your worktable. Stand the fin on the edge you want to finish, tilt it a TINY bit toward you and then gently draw the fin across the paper. Repeat as necessary. This will shave off any remaining 'paper hairs' or excess glue and leave the fin perfectly finished, ready to glue onto the rocket.
It takes MAYBE an extra 20-30 minutes to do the whole thing, and it GREATLY increases the strength of the balsa fins, and WILL NOT peel up from the leading edge from the slipstream ripping past, and totally eliminates sanding and filling the fins. White glue is best for the paper/wood joint like this and will not affect the penetration of wood glue into the fin when you glue it onto the rocket. If desired, the paper CAN be coated with thin CA after your done but it's not necessary.
Try it, you'll like it! OL JR
