Nature of Angels

Angels are being created from light:

Aisha, radhiallahu anha, narrated: that the Messenger of Allah, sallallahu 'alayhe wa sallam said: "Angels were created from light, Jinn were created from smokeless fire, and Adam was created from that which has been described to you [in the Qur'an and Sunnah], (Related by Muslim).

They do not have to desires of their own, neither do they eat or drink, They are honored servants of Allah (SWT) and never disobey Him.

They are perpetually in His service, in prostration, in a standing posture, or through various other forms of worship.

Allah says: And those who are before Him are not scornful of worshiping Him, nor do they tired or get bored. They glorify Him night and day; they do not halt"
(Sura Al-Anbiya, 21:19-20)

They are honored servants, who do not precede Him in speech, and they act according to His command. "He knows what is ahead of them and what is behind them, and they do not intercede, except for those whom He approves"
(Sura Al-Anbiya, 21:26-27)

Angels are also described as having wings:

"Praise be to Allah, the originator of the heavens and the earth, the creator of angels having wings two, three or four.
(Sura Fatir, 35:1)

However, we should not try to guess the nature or form of these wings.
Certainly, there in no basis in Islam for the corrupt notion prevalent in the West, that angels are like beautiful little girls with a pair of wings on there backs.

We should be careful that our children are not exposed to those books which contain such misleading pictures, so that they do not grow up with an incorrect concept of angels.

The angels do not have gender. They also do not procreate, Allah has denounced those who regard them as females. Indeed, to do so is the way of the believers. "Those who do not believe in the Hereafter surely call the angels with female appellations"
(Sura Al-najam, 53:27)

The pagan Arabs, for example, called the angels daughter of Allah, despite the fact  that they themselves were disdainful of female offspring and were so shamed of them that they were inclined to bury their daughters alive. Allah (SWT) thus condemns these ignorant beliefs and practices.
"Or has He (Allah) taken out of that which He created daughters, and honored you with sons? and when one of them receives tidings of that which he sets up as a likeness to Allah Most Gracious (i. e., of a girl), his face become dark, gloomy and his filled with grief....And they consider the angels, who are worshippers of Allha, to be females. Did they witness their creation? their testimony shall be recorded, and they will be asked"
(Al-Zukhruf, 43:16, 17, 19).