If you are talking about the sheath, that plastic coating around new feathers and found at the base of larger feathers, I would just leave them be unless they are somewhere the bird cannot reach or your going to a show with them. These protect the new feathers coming in, they do no harm.
Edited to add: I just looked up feather cyst and found this, I have never seen this in any chicken though.
A feather cyst on a bird represents the equivalent of an ingrown hair on a human. Feather cysts are larger in size, of course, since feathers are larger than hairs. The cysts are due to malformation of a developing feather under the skin. They appear as oval or elongated swellings involving a single or several feather follicles. Although they may occur anywhere, they most commonly are found involving the primary feathers of the wings.
A feather cyst occurs when a growing feather is unable to protrude through the skin and curls within the follicle. As the feather continues to grow, the mass enlarges and a cheesy material composed of keratin accumulates.
Some theories suggest the following causes for this condition: malnutrition due to improper or incomplete diet, genetic disposition, infection, or result of an injury or trauma involving the feather follicle.
Feather lumps can be quite painful for the bird, depending on their placement. If they are situated where they can cause pressure on a nerve or an internal organ, they can cause long-term damage, on occasion even eve