Insect flight evolved about 330 million years ago. There is genetic evidence that wings evolved from articulated gill plates on the limbs of aquatic ancestors, rather than being novel outgrowths from the body wall (Carroll, Weatherbee, and Langeland, 1995; Averof and Cohen, 1997
From:
http://www.nurseminerva.co.uk/adapt/evolutio.htm
and from this site:
Fossil Find Is World's Oldest Insect - Scientific American
We see that indeed the evolution of insect flight is NOT well documented in the fossil record as one would expect.
quote:
The oldest known evidence of winged insectsthat is, complete fossilized bodies with fully formed wings attached--dates to around 330 million years ago. But because there is a diversity of species capable of powered flight from this time period, insects clearly evolved wings well before that time. "This chert provides a tantalizing scrap of evidence to suggest that were missing a huge amount," Grimaldi remarks, "and theres probably this wonderful progression of insects with protowings yet to be discovered." --Sarah Graham
from:
http://www-geology.ucdavis.edu/...en/HistoryofLife/CH13.html
quote:
A new cladistic analysis of living stoneflies, based on molecular evidence as well as wing structure and flight style, shows that the most "basal" of living stoneflies are surface skimmers. This suggests, though it can't prove, the stonefly flight began with skimming. The implication, of course, is that the same might apply to all insect flight. Reference: Thomas, M. A., et al. 2000. Molecular phylogenetic analysis of evolutionary trends in stonefly wing structure and locomotor behavior. Proceedings of the National Academy of Sciences, published online before print November 14, 2000.
That site also has a link to videos of skimming stoneflies. I am often surprised by the number of cases where we have living forms which are so very "transitional" in nature.