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Add layer mask to hair 2 and hide the selected part in the image by adding layer mask to hair 2 then paint with soft round black brush.
Now,right click on the hair 2 layer and choose blending options.Then apply a drop shadow effect and set the setting as shown in the image.
Here are the results.
Add Hue/Saturation and Color Balance adjustments layers to hair 2 then clip it to hair 2. Set the setting as shown in the image below.
Here are the results.Now group all the hair 2 layer and name that group Hair 2.
To create more thickness for the hair use burn tool and then duplicate the hair group 2 times.
After duplicating the hair 2 group two times, add layer mask to both the duplicated groups.Pick the soft round black brush and paint on the layer mask of duplicated hair 2 groups as shown in the image.
Now add wings to the model.
Right click on the wing layer and choose blending options.Apply Inner Shadow effect.
Drop Shadow settings.
Results should be similar to this.
Create a new layer above the wing layer,clip it to wing and Activate the Cone Stamp Tool (S) on keyboard then clone the part of the wing indicated by the circle.Again Create a new layer below the wing layer and grab the soft round black brush tool with the opacity and flow 30%.Paint the shadows indicated by arrows.You can also apply the Guassian blur filter or reduce the opacity of layer if you painted it too much.
Here are the results.
Now add a Exposure and Gradient Map Adjustment layer to the wing then clip it to wing.Set the blend mode of Gradient Map Adjustment layer to color dodge and reduce the opacity to 89%.Set the setting of these adjustments layer as shown in the image below.
The results should be similar to this.
Paint on the layer mask of the gradient map adjustment layer with a soft round black brush as shown in the image below to hide effect of the Gradient Map adjustment layer.
Add a color balance adjustment layer to the wings and clip it to wing.
Solid Color adjustment layer settings and clip it to wing.Then set the blend mode of this layer to soft light and reduce the opacity to 17%.