There are a few things you can do to make sure your sauce sticks to your chicken wings on the BBQ. Make sure you keep some marinade to one side. Firstly marinate the wings in the bulgogi bbq sauce and make sure the marinade evenly coats the wings. Make sure you keep some marinade to one side. Secondly, your bbq should be hot, if your using hot coals they should be white or glowing red in the center. Finally, place the wings onto the bbq slightly away from the hot coals while they are cooking bast the wings with the leftover marinade and turn them often. This will create a glossy sticky coating on the chicken wings that will have the most delicious taste.