Depends on the style of fly I am tying. For wing cases, hopper wings and shellbacks I like to coat them (back side) with a light spray of Krylon clear lacquer.

For upright dry fly wings, or no-hackle dun wings it is important not to coat them.. This style fly requires that the fibers can move a little to bend into the correct shape. You can add a layer of head cement to the trailing edge of the wing for extra durability, but it needs to be applied after the wing is tied in.