I'm going to restate a lot of what Jar said, but try to break it down to even easier bite sized chunks.
Dinosaurs (technically it wasn't "dinosaurs" that evolved into birds, but I'm trying to keep this simple) didn't evolve wings and then feathers.
Feathers came before wings.
There are several fossils from China which actually managed to preserve the imprints of feathers in fine volcanic ash - EXTREMELY rare.
What we've seen is that prior to the development of the wing there were downy feathers for insolation, and even symetrical feathers (feathers which were exactly the same on either side) which could be used for camoflauge, sexual attractiveness, cooling/heating - but could not be used for flight.
In other words, these creatures were covered in feathers long before they took to the air.
So, from having feathers, to using feathers to slow a fall, lengthen a hop, or even glide from tree to tree isn't that big of a step.
Must thank everyone for posting in response to my question.
As a beginner its sometimes difficult to envisage how some things have evolved over time. An animal with wings and feathers that takes to the air is just one of many things difficult to imagine how it evolved.
That animals have had a feathery like covering to begin with helps with understanding how birds have evolved. And to see feathers as insulation against the elements also helps. I also now understand why we don't find many feathery like creatures in fossils.