I don't think you want to glue anything of substantial weight directly on paint if you're connecting flat surfaces. If you have pegs and deep enough holes, getting paint in there shouldn't have an adverse effect aside from decreasing the size of the holes and making it harder to fit the wings. Though it sound like you don't have matching ones at the moment? So that may not even be a consideration.
You could always pin the wings for added stability, drilling holes either before or after priming. Provided the models are large enough, of course.
In my experience priming shouldn't lead to issues per se, as long as you're taking steps to make sturdy connections in the first place.
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