As in Harry Potter? Sounds cool.
Seems like you could get away with an FCG kind of rig and use black cloth. Some chicken wire could give it the frame you need and then a small rotating fan positioned in the front of the body cavity blowing out could pull double duty. For one, it would give the rest of the body of the dementor movement. And second, you might be able to rig up the fan so that the base of the fan is somehow attached to the rigging so that the body would actually sway from one side to the other.
Now, you could also go that route of running your dementor around you yard on a wire, but the examples I've seen on this seem to work best in big yards with big trees.
Just something to think about.
kurt