Pat the wings dry with a paper towel to help the oil and rub coat them well.
Line a baking sheet with heavy-duty aluminum foil and top with an oven-safe metal cooling rack for even cooking and easy cleanup. Spray with non-stick cooking spray.
Make extra rub and keep it in an airtight container with other spices; it's great on any kind of chicken.
The gorgonzola sauce can be made ahead of time or while the chicken wings are baking.