Sanitary pads are available in a choice of styles, either with or without wings. Choosing a style of sanitary pad is less important than getting the correct absorbency to suit your menstrual flow.
The option of using a pad with side protection (with wings) is about personal preference and in some ways, the style of underwear you use during your period can have an influence. Wings on a sanitary pad provides extra side protection against any possible leakages, and the covering material is extended so that it can wrap over the edges of your underwear.