The model is complete. Later I changed some things to accomodate to the other character, but just minor tweaks like the rotation of the wings and the flow of the chains.
I decided to create a more complex scene, so I added another character to the action. I got back to the rigged model and moved it to create the new pose.I did tons of tweaking on the mesh to make it look as best as I could.
The light setup is very simple. I just used two lights for the proper illumination and HDRI for the environment. I played with the decay parameters in the lights to allow the colors blend as I wanted. The wings were rendered without HDRI or Final Gather and in another layer for later compositing. I used Mental Ray for the renderings
The ambient occlusion layer is composed in photoshop. This one really makes them look more believable. The wings do not have AO because transparencies do not render good with this method. Anyway, they could have end up being too dark The skin material is the Fast Skin Material with some tweaks to make it look more "milky".