When I make doll wings (I've only done this a few times, mind) I just put them on a harness so they can come on and off. Some clear jewellery elastic would do nicely for such a small doll as MH, I'd imagine. Really since they are so small you could even put the wings on a bobby pin you could just slide over the back of whatever they are wearing, unless the wings you decide on are quite heavy compared to the doll.
I don't collect MH, so I'm not sure how common this is, but my younger sister has a few (very conveniently left on the table next to me~) and one of those is one of those DIY ones (that come in kits in pieces and the limbs snap off?) that actually has holes in the shoulders that could be used for attaching wings (and presumably were for that purpose? As far as I know we don't have any wings for it but she's not the first owner). The doll would only be able to wear clothing with low shoulders then, though. But I can also see installing some strips of magnet into the holes to allow wings to be put on that way. I'll have to experiment with it myself if I can get some magnetic strips, I'm sure she'd love that (if I do I'll get back to you).
I don't make my own wings, I just buy winged holiday ornaments (the after-holiday clearances are the best time for this), or the decorative butterflies/dragonflies on alligator clips or bits of sticky backing that you find in the summertime. Then you just pop the wings off and attach them to an appropriate fastening. I've still seen/have had transparent fairy-like wings in this way (even as Christmas ornaments), so it's worth keeping an eye out! Also if you have a craft store that sells doll-making supplies, they may have individual sets of pre-made wings. I got a lovely pair of angel wings in that way. I'm not sure if you'd find anything small enough for the MH dolls, though (well, it depends on how big you would want the wings, too, I suppose). But they may also have tiny winged things for putting in wreaths or even scrap-booking that may be suitable for your needs.