Wings are really easy once you know how. You can do a wing on 3 layers. First, start a new image, then create 3 new layers. Give each an outer glow of black, 100% and 1 pixel wide. Give each layer a drop shadow, 90 degrees, distance and size of 3 and opacity of 100%.

On the top layer.. draw a line, the wing edge:

On the layer immediately under this, draw a few more lines. For the 1st row of feathers like this:

On the bottom layer, draw a bunch more lines, for the second row of feathers like so:

You can tidy the edges with the eraser tool. Final wing looks like this:

..and took about a minute to do. This one's a bit off as I just bashed it out but you get the idea. This is one way I do my wings, the Angels Sanguine, my personal schemes B&Bs 'The Lost' (included in the 45+ scheme installer) and the Dark Angels wings to name a few.