Geoff,
last year my son Gabe wanted to try an elliptical wing. Here's how we went about it.
1) Used a piece of construction lumber, we cut out a bending buck with a band saw. This is the first picture. Notice we made cuts on both sides of the piece, so that wood bending for both leading edges can be done at once, which saves building time. Protect the wood from moisture by applying a couple of coats of some furniture lacquer, or simply apply a wide strip of packing tape. The idea is to prevent the wood in the buck from soaking up water from the wet balsa and warping as a result.
2) (Not shown on picture). Cut approximate strips of balsa for the leading edge about 1/4" wider than the finished size. We used two strips of light 3/16" wood. Soak them in hot water for about 30 minutes, then remove, let the water drip for a minute or so, and apply wood glue (Titebond, etc). To keep the two strips together, wrap masking tape in 3-4 places. Quickly, while the wood is still wet and pliable, place on the buck and wrap with flexible bandage. Let dry for 2 days.