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The reason I ask is that whenever I have seen conversions, about half portray him as having wings of some kind and I have yet to find any of mention of this in the fluff.
Does anyone know where all these people are getting this from?

I wouldn't know, but it wouldn't be a stretch to assume he does. Mutations can take any form.

Horus Heresy Collected Visions depicts him with wings after his ascension to Daemonhood:

Now that you mention it those do look like wings. I always thought that it was part of a cloak.

Its part of his cloak that was made to look like hes got wings constantly moving (at least before he ascended to daemon hood. more than likely he has wings now.