They're necessary to our survival, or so the story goes. [Pepper's never tested it, since putting her own life in danger just to prove a point has never really seemed like a prudent move in her eyes.] They're meant to help us cope with the way this world works. There's these things called Shifts, where certain elements of the environment or ourselves change. The wings allow us to survive them.

But why it has to be wings as opposed to anything else, I really don't know.