I am also someone who buys the crafts store feathers (in the NorthEast, we have "Michaels" and AC Moore). I have mentioned it before, but one of the most significant benefits of these is health; these feathers are sanitized.
I have heard how some collect feathers from the beach, or the woods for example. The problem is that my understanding is that literally 100% of birds have mites. Yes, mites. They also are exposed to an unbelievable number of assorted microbes (bacterial and protozoans). I would never touch another person with a "wild feather" found outside. Maybe it is just me.
The feathers from the crafts store are sanitized for a reason. Obviously, there is something of an art of sanitizing without ruining the feather. I will omit various ornithoid-based illnesses, but it can be scarry.
The other reason I opt for sanitized is because of some of the places that I enjoy tickling (e.g. between my wife's legs) and I would never dream of harming her. I won't use a feather that has been used between her toes to be used in the private areas. When we are finished, I break each feather and discard them.
I am not made of money, but there is no way that I would risk anything bad happening.
That said, there are probably acceptable ways of sanitizing feathers found in the wild. This is one area where I would opt for "man made" versus natural. Also, I do not use "colored" feathers. Colorings used probably have no/little regulation. Perhaps I would use them on her feet, but my mind invariably heads down the path of erotic tickling.
Spend a few dollars for safety is my message.
This has been a Public Service Announcement.