I don't know anything about Wings3D (I use Hexagon), but you have to create material zones to be able to change/define materials.

I found this:
To add a new material:
Make sure nothing is selected in the Outliner.
R-click on the outliner window and choose "Material..." from the pop-up menu.
You will be prompted for a name for your new material.

To edit an existing material:
L-click on the material name to select it.
R-click on it and choose "Edit Material" from the pop-up menu.

Warning:
the "hole" material is a special material that is used to flag faces that are to be ignored on export.
Wings3D requires that the mesh be closed ("manifold"... no holes), therefore to export models with holes, you need to assign the hole material to the faces that close the holes in Wings.

here: http://nendowingsmirai.yuku.com/topic/5638/t/Material-Editor.html

Hope that helps.