Hmm.. that's a tough one. I've been using laminating film, myself, for actual wing covering, but I do use tape to seal the trailing edge before the covering goes on (that way I don't have to have the covering wrap around the TE, and it makes it easier overall).
I've noticed there's two main types of tape that you can get in Wal-Mart/K-Mart/Target (is K-Mart still around? I heard they went bust shortly before I left the States). One is pretty thin and not very flexible (and cheap), the other sort (usually marked "Ultra Clear" or something of the sort) is a lot more flexible, is thicker and might be stronger. I think the adhesive is better, too.
I use the thin stuff for patches and around the trailing edge, and the thick stuff for emergency repairs (it seems to stick better when there is oil around) and for reinforcing bladder holes on my 1/2-As. I've never tried either for fully covering a wing, but I'd definitely iron it down if I were going to use either.
A totally different animal is the tape the USPS uses, with the US Priority Mail logo on it. Very aggressive adhesive, and I think a much thinner and stronger tape. It has the advantage/disadvantage of having "US Priority Mail" written on it, and you should be able to get a roll or two free from supplies.usps.com. (It's supposed to be used for legitimate purposes, i.e. sending Priority Mail packages - I was using it to mail out packets of stuff I was selling on E-bay. While you're at it, ask for their triangular mailing tubes also - they're great for mailing plans, balsa wood, etc., and they are also free.)
http://shop.usps.com/cgi-bin/vsbv/postal_store_non_ssl/display_products/productDetail.jsp?OID=1003557
http://shop.usps.com/cgi-bin/vsbv/postal_store_non_ssl/display_products/productDetail.jsp?OID=1003548
In addition - some of the blue foam comes with plastic attached to it, so you might use that as covering. Also check out the other brand - Foamular - it comes in pink, and there's a slightly less dense version (1.5 lb. ft.^-3 instead of 2 lb. ft.^-3).
Incidentally, Doc Passen flew, for a while, blue foam sheet-wing airfoil combat planes. Heavy, but very very tough.