Haven't done it myself but have read about it for decades and have a mind's eye view of how to do it. Two methods seem to be popular. One is to build a skeleton of small electrical conduit or heavy wire, make cardboard templates from the frame then replicate the patterns in sheetmetal. Weld these to the frame and finish. That shold work well for fins with simple flat planes. If you want fins with compound curved surfaces, I have read of people using segments from car tops. This method would required two car tops per car so you could extract four fin surfaces. Still need the basic skeleton of the fin to fit the sheet metal to but surfaces would be much more intersting than flat planes.
What kind of fins are you wanting to build and for what kind of vehicle? Some vehicles already have a good platform to start with. Fabricating fins is a pretty simple job, depending on the size and shape of them it could be as simple as cutting and welding or if you want some shape you would have to go into a bit of metal forming and shaping. Either way I can help if you would just give me a better idea on what you want. Tell me through here or you can e-mail me if you like, e-mail is in my profile.
If you can find plain cold rolled tubing use it. galvanized adds some extra problems. If I must use it, I usually sand off the coating before welding it in place. One problem is the welding fumes from zinc. They are not toxic, no long term health problems, but they will give you 'galvanized fever' - you will come down with what feels just like the flu a few hours after exposure.