I would like to model a wing within caedium. But the wing that I am interested in has different cross-sections, so I wonder if there is a loft option or something close that I can use to model my wing.
Yes, the Faces->Loft tool on the Geometry Tool Palette can loft faces between 2 or more edges. Cap the ends using the Faces->Fill tool, and then use the Volumes->Stitch tool to create a volume. For more details try the tutorial "Loft, Fill, and Stitch."