How can I get dry rub to stick to cooked chicken?

When deep frying it is important to season food immediately upon removal from the oil. Oil briefly sits on the surface of the food before being absorbed in or dripping off. If dry seasoning is added before this happens, it will adhere to the oil and stick to the surface better. This is especially obvious with something like French fries. Salt sprinkled on cold fries bounces right off but it readily sticks to wet fries just out of the fryer.

If your deep fried wings include a coating (batter or breadcrumbs of some sort) you can incorporate a dry rub into that mixture to positive effect.

When baking, I prefer to season before hand. While spices are likely to burn or wash off in a deep fryer, you can create rubbed surfaces on wings that will stick quite well in the oven (or on the grill/BBQ/smoker). Keep in mind that some spices are more resilient to being exposed to high temperatures than others and spice mixtures will change character—sometimes dramatically—in the oven. It will take experience and practice to determine what tastes good charred versus raw. I rarely use herbs on the surface of food in the oven for this reason. Burnt plant matter is not good eats.

If you really want to season after baking, I would suggest maybe tossing in a seasoning immediately after baking if the surface is still oily. This is similar reasoning to the deep frying technique. Or you could make a sauce out of your spice mixture somehow. Add it to a hot sauce you like, mix it with butter, or make a vinaigrette with it.

If you miss your time window when the wings are hot enough to have seasoning stick, I know of two other options:

1. Spray the wings with a spray oil like olive or coconut oil and tumble them with or in the seasoning

2. Rub the wings with mustard, which is like a glue and then tumble them with or in the seasoning. Herb-crusted meats or fish is often done this way