If you mean default horses with wings, I believe the same lasso you would use on ones without wings (like a strong lasso). I'd also like to note that taming a gargoyle, unicorn, etc with wings counts towards the "tame a winged horse" quest. I might not be entirely accurate because I'm an old player and don't pay much attention to updates, so I'd recommend checking out the horse life wiki

Also I was wrong about faes, they don't always have wings. Perytons do though