I had the hardest time figuring out how to attach the wings to the Sanguinary Guard models. The instructions provided by GW were worthless in trying to figure it out and since they are all digital diagrams, a reasonable person would expect that they'd show how it assembles. But the finer points of model construction are not GW's bag.
So, the wings contain a spot that fits into the round bubbles on the back side of the marine torso. Yeah, its complicated to describe, so check out the picture for a more accurate description. The areas that are circled are glued together. Hope that helps.