Extra Advice: Best Done on maximum zoom or Zoom x6 whichever you prefer

First of all you have the draw the root of the wings. Meaning the place where the feathers all be hanging from

Now we add some details to the wing's root. Usually it'll be somewhat feathery/furry.

Now we would start shading the root. Follow the direction of your root's feather/detail.

Add a lighter highlight. Imaging a lightsource shining on your wings. On this my lightsource is coming from the top-right-side

add further highlights. But don't add too much! It'll make your wings look like plastic :P

Now we'll add the first set of feathers. This are the special newly grown feathers :P This would actually add some form of details to your wings. Usually feathers are attached to the root in steps. They are not attached in a straight line. So remember to add feathers one infront of the other. Not in a straight line!

From here i have shaded the shadows in, afterall they are overlapping each other. The feathers have their own root in the middle, so use the same colour as the shadow for the root.

This here, i am teaching you how to shade the feathers. I think the picture is self-explanatory. Anyways, imagine you are shading a leaf. :P

i've added another set of feathers in a lighter colour to finish the look. Copy+paste the first one you did, flip it horizontally and now you have wings! Congratulations ;)