The development of wings has undoubtedly played a major roe in the enormous diversification of insects. New insights into the evolutionary history of insect wings are available from paleontological, physiological and biomechanical studies. A recent hypothesis, derived primarily from paleontological evidence, is that wings arose from leg exites, small flaps associated with proximal leg segments. We present data from studies on physical models that are consistent with this hypothesis. The exites would have been moveable, and measurements on scaled models show that they would have generated aerodynamic lift by unsteady mechanisms associated with vortex shedding. An examination of the sensory structures found on insect wings is also consistent with the interpretation of proto-wings as leg exites. In addition to mechanosensory bristles, such as are found all over the body, the wings of modern insects carry campaniform sensilla sensitive to cuticular deformation and contact chemoreceptors whose stimulation elicits a feeding response. Both classes of receptors are also found on the legs of modern insects but not on the thorax, favoring the leg exite theory.