Step 1: Be Prepared!
Assuming that you already have Wings 3D installed and functioning properly, there are a few things about it you'll need to know before getting started.
First, Wings 3D geometry cannot exist with holes or planes; you'll need to assign the "_hole_" material to remove polygons to creates holes and planes. Second, Wings 3D is a contextual "Action-Confirm" tool; this means that you when you perform an action (like "Rotate), you will be in that action state until you "Accept" by Left-Clicking or "Cancel" by Right-clicking. Third, Wings 3D has 4 main modes -- Vertex, Edge, Face and Body. Each of these modes are sort of their own universe, with a unique set of menus and options. Shortcuts in one mode will not work in the other unless set to do so. Last, I'm not a Wings 3D guru; tread forth at your own risk.
Step 2: Set up the scene
Some people model "Ratner" style, others use the "Steed" technique; I use the Ant style of modeling. Why do I call them "styles"? It sounds cool, like a martial art discipline! Oh? You don't think so? Fine...
Anyway, Ant modeling involves breaking your concept art into simple primitives. You create these simple pieces in 3D and alter/tweak the geometry pieces by piece and merge them together to create the base shape. Then you go ahead and define the details. For this tutorial, I am borrowing some concept art of David Kwan's original character, Rachel from his animation Foxgirl.
Using your favorite 2D editing program, split your concept art poses for each view. I will be using just the Front
and Side views. Right-click the Viewport and click Image Plane option to add an Image Plane. You may need to rotate the Image Plane; do so by selecting it and Right-Click > Rotate > Y. Press Shift to constrain rotation and Left-Click to accept the rotational change. Right-click to cancel. Add all your reference images this way. You may also scale your Image Planes; once you have them like you want them, be sure to lock them by clicking Select > Lock Unselected. To switch views in the viewport, the buttons are X, Y, Z. Use Shift + X, Y, Z to see the views in the opposide direction. You may set up multiple viewports by clicking Window > New Geometry Window. Right-click the Viewport title to Fit the window or input a Size or hide the toolbar. Customize!
P.S. I'm fairly used to Maya's interface and I set Wings up to resemble it. You can download my Preference file and insert it in the "Application Data > Wings3D" directory, to use my custom settings or make one of your own.