Using a good base on the wings from either craft foam or stiff fabric would work, then using fabric studs and studding them in place on the wig. I did this for heavy horns and it worked great. The only thing is that your wig must be fairly thick/fit your head well. if the wig's too big the wings will sag. But if you stud it multiple times and have a good base it shouldn't matter too much.
The studs I used were jean studs, you can get kits at sewing/craft stores. They aren't permanent, and can be removed from you wig with strong pliers, so if you ever need that wig for something else, it's safe!
The second option that my friend did for her soraka unicorn horn was buy a sturdy headband, and put snaps on it, and the horn. Then she'd put the wig on over the headband, and snap the horn in place by moving the wefts around it.
You can also create braid buns and glue the wings over it, although I don't think you should, as it's going to damage the wig.
good luck dear!