I had a fan mounted this past year, and without thinking I set a heavy parka on top wrinkling a few of the feathers. I asked the same question, and a couple people responded saying steam would straighten them out.
I didn't need to try, I laid the fan out flat for a week, and the feathers seemed to correct themselves. They must have a memory, because the creases are hardly noticable.
So I would try laying them out flat and see if the memory in the feather returns it to its normal shape.
If not, steam.