When a fluffy is first born, no matter its breed, it is born without wings. Pegasi and alicorns don’t start growing their wings in until a few weeks after their birth.
This causes them great pain, and usually the only way to ease this pain is to feed them fluffy-safe painkillers and massage their backs. Pulling on/messing with the growing wing stubs is a bad idea, as this can cause extreme pain and permanent damage to the wing. The bones in the wing are rubbery and delicate until they are properly exercised. When the wing stubs (The flesh and bone) themselves are fully grown, the feathers start to come in. This is a very itchy process.
Often, the foals will ask their owners and/or parents to pet or gently scratch their new wings. Either that, or the foals will rear up on their hind legs and scratch their backs on any available surface like a bear does.
The mother (And father fluffy, if he is around) will aid the foals in learning to preen their new feathers. This can be done by the fluffy lapping or nibbling at the feather-buds. If a feather-bud is bitten too hard, it will bleed and cause pain.
If the adult fluffies are too frightened of an alicorn foal to teach it to preen, this can either teach the foal to become independent by learning on its own, or the alicorn foal never learns to preen and therefore lives with scruffy-looking wings. Obviously, the second option isn’t optimal for breeders, as they want their fluffies looking as clean as possible.
Once the feathers are grown in, they can look quite beautiful. The primaries are the color of their hooves and horn. The feathers closest to the wing stub itself are the color of their mane and tail. The feathers covering the stub are the color of the fluffy’s fur.