In X3AP, it doesn't seem possible to order a wing to dock. The ships will just orbit the chosen station but not dock. Is there a way to dock a wing without dismantling the wing first.
If you order a wing to dock at a station, it will attempt to do so unless there are not enough docking slots available for all ships in your wing. This is usually only an issue on smaller stations that only have external docking ports or if your wing consists of ships other than fighters.
If you order a wing of fighters to dock at a station (such as a trade port) or a carrier with enough hangar capacity that has a hangar bay, then the entire wing should be able to dock with no problems.