Wings progression is easiest to understand as a sequence of meaningful mobility upgrades. You do not need every pair—only upgrades that improve flight, handling or boss movement enough to justify the effort.
Early Hardmode goal
Your first useful pair of wings should solve the biggest mobility gap created by Hardmode. Prioritize reliable flight and recovery over chasing a rare option immediately.
Mid-Hardmode upgrades
As mechanical bosses and later progression open more options, compare whether new wings actually improve arena movement, vertical speed or sustained flight for the fights you are doing.
Late-game mobility
Later wings can provide stronger overall movement, but accessory-slot pressure also matters. Pair the upgrade with the rest of the mobility setup instead of evaluating one item in isolation.
When to keep your current wings
If your current pair already handles exploration and boss arenas comfortably, farming a small upgrade may not be worth the time. Save the effort for a breakpoint that clearly changes movement.
Build around the whole mobility package
Boots, hooks, mounts and other accessories can change how valuable a wing upgrade feels. Test the full loadout before deciding which slot is the real bottleneck.
Source: Official Terraria Wiki — Wings.