I've monokoted (Ultracoat is better!) a few fins on my rockets, but then again, i have jsut as many RC airplanes as rockets, so I have a supply of covering!
Typically, though, I have jsut covered teh fins to avoid painting and sealing, and such. They look better, and teh covering does add some strength to the fins. I then jsut glue them in place once covered. Mask, and paint!
As for building up the fins.. We do this quite often with teh tail feathers of our planes. But our surfaces are about 1/4" thick. And we do sometimes have solid balsa for these parts. So, making a 'stick structure' for rocket fins might be a way to go, but realize that you're not making a big weigh savings, and strength / stiffness might be comprimised.
Oh, and Monokote is a brand name *(by Top Flight), but typicaly refferes to all heat shrinkable polyesther films. Carl Golberg Models make Ultracoat, and then there are shrinkable polyesther 'cloths' - silk covering.
There is another type of covering, that is sticky on the back, but dosen't shrink as much as Monokote.. Works the same though..