The biggest issue I see here is something no pixel-wing tutorial will help you with: they don't much like wings. Have you looked at real wings? Even if you want to stylize, it helps a lot to understand what it is you're stylizing, so that you can make the wings look "wingy".
Here's a pretty nice, quick tutorial about wing structure. You can ignore the last few pages since they're about sizing the wings for flight, which doesn't seem to be your goal. This tutorial compares of bird wings and has lots of examples. Notice the things they all have in common. Those are what make them "wings", and those are the things you'll probably want to have recognizable in your design.
The shading is also not making much sense to me. Where is your light source? Pick a light source and stick to it, instead of shading each segment individually. I think once you figure out the wing structure, you should have an easier time figuring out where the shadows should go, too. It's much harder to sensibly shade something you don't quite understand :]