For years I used either welded wire mesh or (eeek) chicken wire to shape the space above windows and doors. The chicken wire was horrible, mostly because it never seems to hold a shape, but the welded wire mesh worked pretty well. The biggest problem with the welded wire mesh is that if it is not stuffed well with tightly packed straw or if the straw is packed too tightly, the plaster has a hard time sticking to the lids of the opening.
There are few things as frustrating as working for hours to place plaster on the lid with it falling back onto your head the whole time only to come back the next day to see that it never did actually hold. The large pile of dry plaster on the floor or window sill is a sad sight indeed. Although slightly more expensive and certainly more dangerous to work with, diamond lath (lovingly called blood lath for reasons beyond the need for explanation) works really well for this space. Because of this I now use blood lath above windows and doors. The design of the material allows for plaster to hold well to the surface, even upside down as long as your mix is right. I suggest that you try it on your next project!