The Cosmic Wings is a newly added vanity item that can be obtained from Princess Lilian in Whimsydale. The wings were added to the game in patch 2.4.1, and can be used by any character after they have been obtained, even by hardcore or seasonal characters.
To get the Cosmic Wings, you need to kill a unique mob in Whimsydale called Princess Lilian. They have a 100 % drop chance, but the real problem is getting her to spawn.
In order to find Whimsydale, you first need to kill a Rainbow Goblin. These can spawn in any place in adventure mode, except in rifts and in the vault. They are somewhat rare, so expect to find a lot of goblins before you find a Rainbow Goblin. Upon death, these will spawn a portal to Whimsydale, and in this instance Princess Lilian can spawn. She has a very low spawn chance, so you will probably need to open a lot of rainbow portals before you find her and get your Cosmic Wings.
After an instance of Whimsydale has been cleared, a new Rainbow Goblin will not open a new portal, so make sure to reset your game if you want to farm the goblins for portals.
Also note that Whimsydale and Whimsyshire are two completely different instances, and you can not get Princess Lillian to spawn in the Whimsyshire instance. Only portals opened by the Rainbow Goblin has a chance to spawn Princess Lilian.
For a guide on how to farm the Rainbow Goblins as fast as possible, check out this guide.
If you want another set of wings, or find these to unreliable to farm, patch 2.4.1 also added another set called the Falcon Wings. These are a lot easier to farm, so check them out.