Windsor & Newton, an art supply company makes a pastel & charcoal fixative available in a bottle. It can be applied with a dubbing needle or brush or you can dip your wings; works great and is less messy than a spray. In regards to wing splitting: I have found that an application of liquid fixative across a quill wing; midway between the tie in point and the tip of the wing will help prevent splitting, (if that is the desired effect), without significantly increasing the weight of the wing by a full covering of fixative.
Pliobond is an old time favorite that while messy makes nymph wing cases virtually indestructible. It just makes wings too heavy for most dries except hoppers & crickets. Make sure to let it dry COMPLETELY or you'll be sorry.