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I would like some help with the shading, especially with the wings..
When establishing values, consider both the light source and the form.
Regarding the light source, you'll need to establish the type of light, proximity of the light, intensity of the light, temperature of the light, and finally, the position of the light source.
Regarding the forms, an easier way to think of shading (at least for me) is to interpret the object/figure/creature in questions as consisting of a series of geometric planes in 3-dimensional space. Planes that are perpendicular to the light source should be brightest. Planes that face away from the light source would theoretically be the darkest, but you'll have to take into account the bounce-light from the environment.
For the wings, try to really understand how the structure works, and how it looks from all angles. Try constructing simplified wings out of clay, cardboard, or anything else you can get your hands on. Make sure it looks correct from all angles. Next position it relative to your line of sight so that it matches the picture. Use a lamp to get the light source consistent with the drawing. Use this model as a guide to help you establish the values of the wings.
I will add something to what havoc-dm said, study reference pictures of wings to better understand how to render them, it doesn't matter if its a fantasy creature, the logic behind something that has to fly still has to have a basis in reality. It's a decent job, do all that and it'll get somewhere.