Here is how I built my own WiFi shield for the OpenBCI Cyton and Ganglion boards. The total cost was less than €10.
See the schematics.
* 1 ESP8266-12 module
* 1 ESP8266-12 adapter
* 2 push buttons
* 3 blue leds
* 1 NCP1117 voltage regulator
* 1 JST connector
* some resistors and capacitors
* pin headers and a piece of veroboard
On the white adapter board I first removed the 0K resistor link in the middle (R2). Then I cut the two tracks that run from VCC to the left hand side 10K resistor (R3). Next I soldered on a NCP1117 on the back side (not visible in the photo) and finally added two 100nF caps.
Last I mounted the ESP+adapter on a vero board, added male pin headers and the other components and wires.
It looks very rough but works great. Here are instructions on how to upload firmware and how to use it.