Follow the main quest, and you will receive your first Wings at level 20.
In the toolbar, you may click Wings (J) to open the Wings interface.
To upgrade your Wings, simply unequip your Wings and insert them in the window.
You will receive additional properties by upgrading your Wings. In order to upgrade them, you will need Heroic Wings, however. Heroic Wings may be looted by monsters or bought through the Item Mall.