Step One: Start with the basic shape.

Step Two: Start adding the details of the inner feathers of the wing as shown.

Step Three: Add the details of the outer feathers of the wing.

AAAND there's your wing!

Here are some examples of some other types of wings!

Closed wing.

Curved wing.

Bent/Folded wing.

Spiked/Ruffled wing style, which is probably easier than the normal style I use.

Another example of an open wing.