It's Time to Wing It!

I make the wings from a thin sheet of Lexan cut to shape on the scroll saw, using a fine blade and cutting slowly. If you move to fast the Lexan will heat and melt but re-fuse itself behind your blade. Slow and steady is the name of the game when doing this. If you are shy of scroll sawing, these little Lexan can be cut at least partial cut out with  scissors. You can see the shape of the wing in the photo below.

The key part in the fitting here is to sand a small flat surface on the back half of the top of the thorax, sanding it down to expose wood under the paint. This is to provide a good bonding surface for the glue. Try to have the front edge of the flat as straight as possible so the wing can butt up directly to it.

You will need some patience for the next bit, especially if making a bunch of bees at one time, so be prepared to take your time and take a few mental breaks. 
Use some medium CA glue to glue the under side of the wing to the exposed wood. Hold the wing firmly in place until the CA glue is set. You can use a bit of accelerator but is not likely to get under the wing to where the bulk of the glue should be. You just have to be patient and hold it until  it sets.

When the wing is stuck in place mix a little epoxy to place on the top side of the wing spreading it  around the edges of the wing. to contact the thorax, building a small bump which will cover the area of wooden exposed when sanding the flat for the wing. When the epoxy is set rough it up a little with fine sandpaper and paint it the colour of the bee's body. Hopefully the series of photos will help you to see the steps.

Wings cut out. The blue tint is from the protective film coating in place removed after cutting.

Epoxy added to cement the wings down. Use enough to hide the slot cut for the wings.

Wings on. Paint touch up done. Add a little varnish on the new paint spots to finish. Ta- Da!