I don't know about wind under wings, but the wind tugging at my hair always feels wonderful to me.
I'm angelkin, so I've got both wings and human arms (and, well, hair), but if you think your type may have wings instead of arms - like a bat, bird, or some types of dragon/wyvern - the closest I can think of is to approximate the feel of air resistance against your arms. The easiest way might be to stand facing the wind wearing an unzipped coat/hoodie, and hold onto the bottom corners and kinda spread them out a bit so they catch the wind?
It's the closest I can think of. I know it wouldn't work particularly for me, because part of what I remember and miss is the feel of my muscles working to keep me aloft, and again, I did have human arms, so it's not particularly the same. But it may be worth a try.