Was someone investing in their work or was aeronautical research and decelopment within their financial reach? (Someone asked a functionally identical question nine months ago, but it did not garner any replies, so I thought I would try again.)
They ran a printing business and a bicycle shop, which is how they financed their first aircraft. It was only after their first flight that they got outside funding.
http://lcweb2.loc.gov/diglib/legacies/loc.afc.afc-legacies.200002919/
http://airandspace.si.edu/exhibitions/wright-brothers/online/who/1889/printers.cfm
I was just in the smithsonian air annex last week and according to the docent who gives the guided tour, the wright brothers flight attempt cost around $1000 and was financed by the Wrights. The docent said that most of this was expended on tickets spent on getting to the site where they were test flying the plane.