Preheat oven to 400F.
Line a baking sheet with 2 sheets aluminum foil. Top with an oven safe cooling rack and spray with non-stick spray.
Combine all dry rub ingredients in a mixing bowl. In a separate large bowl add chicken wings and vegetable oil. Toss gently to coat wings.
Pour in ½ of the dry rub mixture into the bowl containing the chicken. Gently mix and coat chicken wings, adding more dry rub mixture as needed (you may not need all of it, depends on personal preference).
Add chicken wings to baking sheet and bake for 45 minutes.
To prepare the Gorgonzola Sauce, add all ingredients and half of the gorgonzola cheese to a food processor. Process until smooth consistency.
Stir in remaining gorgonzola and refrigerate until ready to eat.