Combine all wing ingredients, except chicken, in a large bowl. Place chicken wings in a large ziptop bag and pour in marinade. Seal and toss to coat. Marinate chicken wings for at least one hour or up to overnight.
Set up grill for indirect and direct heat. Place chicken wings over indirect heat and grill, turning once, until nearly cooked through, about 25-30 minutes. If checking with a thermometer, they should read 155-160° F.
Finish grilling wings over direct heat to crisp and slightly char the skin. Remove from the grill and serve with the sauce.
Wing Sauce
Combine all ingredients for sauce, except water and cornstarch, in small saucepan and bring to a boil over medium-high heat, stirring occasionally. Mix cornstarch and cold water together and whisk into sauce while boiling. Continue boiling for one minute, whisking constantly. Sauce will thicken. Toss chicken wings in sauce or serve on the side.