First of all select the Pen tool. Draw an outline of the wing as shown below.
Scale the size to 50% and Copy.
Press Control+D to duplicate that last action.
Keep the inner designs in place as shown below.
Select all the designs and give the stroke value 20pts.
Without removing the selection, click on the rotate tool. Apply an Angle of -275 and click on Copy.
Move the copy to the right place and reduce the size.
Now change the stroke value back to 20 pts.
Select everything and go to Outline Stroke.
Select Clean Up.
Next, select Add to Shape Area then press Expand to combine all the shapes to one piece.
Select the Reflect button and Copy. Place the wing in place. Choose both wings and apply the Add to Shape Area again to make it one piece.
Choose 3D Extrude and Bevel. Set the value of Extrude Depth to 30. Select Bevel Type as Rolling. Set the value of Height to 10 pts. Click on OK to finish.
Make a new layer and place it below the current one. Lock the current layer. Using the Pen tool, draw around the outer edge of the butterfly. Give a gradient to it. And our butterfly is ready.