Stones you can get from NPC in Varenas will not get you far. CS stones on other hand work much better, but cost money.
Wings have hidden (ghost) stats, and they give bonus XP/TP adn drop rate.
Drills create slots for runes on wings, and just like any other piece of gear in game, you can add up to 4 slots for 4 different runes. (have to be careful as some runes are only for weapons)
Here is RuneDB link for
Little Devil's Wings. Take a look at refinement section, for each plus you get bonus %. At +12 it's 20% and if hammered (which they should be if you state them), then it's 24%. It might not seem a lot, but if you think that on every 1M xp you could get additional 200K (and more TP as well), then yes, it makes sense to plus them.
Hope this helps.