What Kurt does, and what I've also started doing, as I've tried both methods, is to draw a curve using the EP curve tool (located in Create>EP Curve Tool).

Draw the front of the wing from the top view, and then draw the back of the wing, again from the top view. DO NOT connect them.

Now select each curve in turn, and use Edit Curve>Rebuild Curve.

Now, select both curves at the same time, and use Surfaces>Loft. This will give you a NURBS surface of the wing. You can now delete the curves.

Insert an isoparm down the middle of the wing, running from the fuselage to the wingtip. Shape your wing using the CVs, and then convert it to polygons, deleting the original NURBS object.

To get a thickness, select the polygons that make up the wing, and use Edit Polygons>Extrude Face. Centre the manipulator, and then extrude it to the desired height.