My cat did the same when i gave him his first wing! Only he batted it all around the kitchen....
I realised the size was too much for him, and now i chop it into bits with a cleaver. No mess and he eats it, bone and all. I also remove most of the skin as my cat was having probs chewing it - it really is like chewing gum...
when I gave him some raw food for the first time a couple months earlier (a thin chicken strip) he started flinging it around the room and playing with it lol. See video below. Anyway, you are right and I should chop it up with a cleaver. I actually do not own a cleaver, looks like I will have to buy one. I don't think any of my knives can cut through a chicken wing