Please keep in mind I just started learning this myself, there are much better and experienced users, I'm just laying out what I did.
Using the wings as an example as requested
1. First thing you're going to do is load up your root model. This will be the one that serves as your foundation, the one with the animations you are likely to use. In this case the Valkia body mesh.

2. In asseteditor you want to then load in reference meshes for the models that have the parts you want. From there, you want to right click the mesh once its loaded in and select "Make Editable". Here, I used the Daemon Prince wing mesh, because it was simple, didn't come with any parts I needed to trim, and the skeleton was similar already to Valkia's. If you want to take parts from another model, you can do that, you'll just need to select the mesh, and select the edit faces to remove the parts you need. You can also use AE's function to split a mesh into parts on its own automatically, this might make it easier to remove whole parts at a time.

3. The next part is using the rerigging tool, selecting the mesh you brought in (The wing mesh here) and then you need to try to match the bones up. I use the match by name, then scan through for any that don't have a match, and try to see if I can get an approximate match. This part here is where someone with more experience can expand more. There are better ways of doing this, with tools in the asset editor. I'd recommend joining the Discord Modder's den to ask your questions there on that. If you're trying to match say, Griffin's wings (or in my case, I first tried to lift Azazel's wings) it's probably going to not match out the box as well as the Daemon Prince wings did, and will require quite a bit of work.
-Related to the above. It may be a good idea to position and scale your added mesh first before doing the above step.

4. AE has a function to play animations. Run through them looking at your added mesh, and adjust where needed if things look awkward.