Open the base you want to use. For the first part of this tutorial, I chose a profile doll from Guinevere's Dolls, but we'll get to a front-facing doll and wings in a bit. Ready your wing pallette of six colors somewhere around the doll's feet; you don't want the shades to get in the way of the wings you're about to draw. Using the darkest shade of your pallette, draw the outline of the nearest wing, and draw the tips of the feathers below that to show that yes, Virginia, there is another wing back there :P

Fill in the wings with the Bucket Fill tool and the next darkest shade from your pallette.

Clean up the outlines until they're no more than 1 pixel thick at any point. Add some pixels here or there to make the wing look fuller or thinner, but make sure the pixels stay 1 pixel thick.

Pick up the third darkest shade and draw the details in the wings; the feathers, and the wingbones at the top. Fun thing about this is, you don't have to clean up the pixels.

Fill these area in with the Bucket Fill tool!

Continue on down to the big flight feathers, drawing semi-oval or slightly triangular shapes. Fill these in and remember to leave the natural shadows just below each set of feathers!

Take your fourth shade and start making highlights on your new wing details.

Fill the highlights in. Your wings should now look something like this:

Make the same highlights on top and sort of in the center of the others with the fifth shade in your pallette.

And do the same with the sixth shade. There! You now have a doll with wings! Scroll down to see what to do about making wings on a front-facing doll!

You can follow this same technique with forward-facing dolls; the trick to that is making the first wing on a part of the canvas away from the doll, then copy/pasting and turning the new wing around, connecting it to the first wing, then moving your doll overtop the set of wings with the Free-form Select tool! ^__^