Combine marinade ingredients together and mix well. Place chicken wings in a large resealable bag. Pour marinade over top. Turn to coat and refrigerate for 2 to 6 hours.
For blue cheese sauce, combine blue cheese, sour cream, mayonnaise, garlic and Worcestershire cause in a bowl. Stir until smooth. Add enough milk to give the sauce the consistency of pancake batter. Season with salt and pepper. Cover and refrigerate for at least 1 hour before serving.
Preheat grill. Remove wings from marinade and reserve marinade. Place wings on hot grill over a low fire. Grill until done (about 30-35 minutes or when internal temperature of wings reach 165 degrees F.), brushing liberally with reserved marinade during the first 15 minutes of cooking time. Once cooked, remove wing from heat and serve with blue cheese sauce.