That's where he used the deform tools, which we don't have access to in Photoshop 5.0. You could take the gradient and use the "transform > distort" tool. You just have to distort part of it at a time. Start at the base of the wing, and narrow it just a bit. Then re-select and do it again, on a part further out, narrowing it each time.
That's the only way I could think of.
What I've done, however, is I've used gradients at angles. Rather than making a straight gradient then manipulating it to the shape, I used several different layers to create angled gradients, that when all added together look like they fit the wing shape.
It's not easy though.