Yes. you can make dragons wings and animate them.
If the wing is a single object, or even if the whole dragon is a single object, the answer is in the skinning.
I don't have a decent example here, but theres a sort of a underwater dragon thing in 'The seed that turned'.
Its in the skinning. Search for any information you can on skinning. The dancing worm tutorial is not a bad basic skinning tut.
Not sure of the link, sorry.
Heres a bird with sort've dragon wings. but he's modelled as 1 whole object.
Sorry, but i missed the first part of your question.
You have seperate objects attached to different bones.
Lynn22 has the right answer to that.