I recently took WIP photo's of my first attempt to make a sail, but haven't done anything with them yet as the actual model and figures aren't finished yet, but will post up the WIP's for you as the result was great.
1. I created a jig from some scrap rod pushed into a bit of styro foam, but you could use nails and wood or whatever is handy. 0.5mm cotton was tied between rods and secured with a dab of super glue. For your ships I would make the bottoms of the sail a bit wider than the top.


2. I then made a solution of PVA glue and water about 50/50 (you could at this stage add a dark canvas paint to this mix to pre color sails prior to dry brushing when sail have set). I used two tissues/toilet paper-effectively 4 ply, cut to size soaked in the PVA mix, removed and excess liquid brushed off with fingers (a bit messy this). The tissue was then drapped over the jig and left to dry (about 12-15 hours)


In hind sight I would cut the sail slightly narrower so the tissue doesn't actually touch the base board as when it dried the whole thing shrunk a little and being stuck to the board some of the billowing shape created was lost (I managed to remedy this to a degree when attaching to the mast.
3. once dry I cut the cotton from nails leaving a reasonable length of spare cotton at the top of sail for attaching to mast and also the two outside bits of cotton on the bottom of sail for attaching to rigging. Paint sail and then attach to masts.
Finished result:



I hope this helps.