I wish the fan blades weren't so high or I could just put something on them, anything, like pieces of fabric (the t shirt suggestion would be perfect) to discourage them at least, but at 10 feet high only the birds can reach them without a ladder.
I guess it was inevitable that by letting my budgies have the run of the house they would begin to destroy it.
I want to thank all of you for your creative suggestions. Many of them were really good ideas IF my fan wasn't so high and IF my budgies had a normal fear of new things. Some of them do, but not Rocky and Beau. They were both hand raised to be 100% comfortable with new people, places and things.
I have to leave the house this morning and won't be back until this afternoon. I fear I will find a pile of budgie beak sized wood chips on the floor under my fan when I return but if I leave them in their cages while we're gone they will be very upset. I've put some nice pieces of scrap wood and a cardboard egg carton on top of the cages. Here's hoping!