We actually bought whole wings and cut them up. You can do the same, or purchase party wings, which have already been separated into flats and drumettes.
If you'd like to add a sauce to these wings I would suggest tossing or basting them with sauce at the very end. You can always pop the wings back onto the grill for a couple of minutes to help caramelize the sauce! It's best to add sauce at the end to keep the skin crispy.