I found a Japanese website (translated) where you can download photo frames to be printed and fold by yourself. Some look really nice, I find.
Links:
Following links translated with Google Translator:
Paper Museum – Overview categories of photo frames
Overview Wedding Photo Frames (The button with the text (A4/PDF/2 photos) next to it downloads the PDF file with the photo frame)
Instruction on how to fold the photo frames
Following links original (Japanese):
Paper Museum – Overview categories of photo frames (Japanese)
Overview Wedding Photo Frames (Japanese)
Instruction on how to fold the photo frames (Japanese)