First we start out with the basic skeleton of a wing. Notice how simple it is. It can be bent at several different angles and rotated in space for different postions.
After drawing the skeleton, add some muscle to the "arm". There will be more muscle where the wing connects to the body.
Next sketch out where the "fingers" of the wing will be. There can be as little as one finger, or as many as 20, perhaps. It all depends on how you want your wing to look. Typically, the more fingers there are, the less muscle each of them will have. Remember that most fingers have to bend at some point. For a more complex wing, a knuckle joint will always help to give structure.
Now it's time to add flesh to your fingers. They can be as thick of as skeletal as you desire. Near the knuckle joint, there will typically be a widening because two bones are meeting and need room to move past eachother.
What you have now are really enlongated hands. To turn these guys into wings, there will be a skin membrane stretching between each of the digits like webbing. The curve of the webbing can be as rounded and severe as you like.
Here are some tiny additions you can add to your wing. For a more rugged look, you can add tears where your creature has gotten into a fight or two. If you want your creature in top condition, then don't add them. Veins will show where blood flows. It's all a matter of what you think would look best for you!