There are a few ways this can be done.
The way I would go with is to draw the pattern of the wings in Photoshop/Gimp and use that as a bump map on a glass shader.
Another way that I did above is to make a base shape for your wing.
Subdivide it 4 or 5 times, apply it, then go into sculpting mode and sculpt the wing pattern (better than I did).
Then use the node set up above.
You can just use a glass shader with an emission shader in the volume, I used 3 different colors for the emission shader and mixed them with a noise texture to break up the colors.
For the glass shader I added a transparent with a layer weight node as a mix factor just so I can hide the glass and make it a little more magical.
If you use the node set up above, play with the noise texture settings and the colorramp flags to clamp what you see.
The multiply (math) node is there just to make the emission brighter or darker.
You can play with the roughness value of the glass shader too, It looks like here wings are a little bit frosted.