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In the oven
Sauced wings won't react well in a frying pan, and a microwave provides uneven cooking. The best way to reheat wings is with a dry heat, such as in an oven.
Spread the wings on a sheet tray lined with foil (to minimize cleanup) and place into a preheated 350 degree Fahrenheit oven. Let heat for about ten minutes, or until fully warmed through. You don't want to cook them, they will end up dry, just get them hot enough to be palatable.
It takes a bit of time, but the result is miles better than cold or from the microwave.
