other people do other things, but here's my own totally self-invented method.
Pan fry wings on medium to medium high in the largest non-stick frying pan you have. Man, is this a mess--chicken fat splatters everywhere.
This renders off some of the skin's fat, and the longer I do it, I find the more I like the wings later.
Then take those wings, coat with sauce and cook for another 20 minutes at 400 degrees in oven. The sauce will still slide off some, but you just roll them around in it and put them on your plate, and the sauce stays put then--at least for long enough to eat them.
I will admit that some people might find the meat of my wings overcooked with this method, but I don't want the skin wiggly, so I like them this way.
The way restaurants in Buffalo NY do it is by first deep-frying the wings in hot, hot oil (then I forget what--but it was all shown on a FoodTV program about a month ago). The sauce might stick better because there's corn syrup in it--just a guess. After what I've been reading about what happens to oils when you heat them, tho, I'm glad I do it my way!
HTH!