I'm thinking in particular of wings on birds that would - I'm guessing - have to progress through stages during which they confer no particular advantage. Or is it that all evolved features must have followed a path of incremental benefit therefore imposing a fundamental limit on what evolution through natural selection can "achieve"? (features that are not beneficial while gradually appearing cannot be evolved)
Features can evolve (or change already present features) which have no negative effect under the current conditions. You can very well have neutral changes which have no purpose. They can then prove positive later (or in a different environment). Changes are usually small and take place over very long time periods.
An example would be bacteria which mutated one of their enzymes for a energy pathway. Before the mutation the enzyme could only metabolize nutrient A, after it, it is a bit less specific for A, but can also metabolize B. As long as the living conditions are so, that only A is present, this will not change anything. If the conditions are so, that A and B are present and A gets limited, these cells will have a profound advantage over cells, which can only utilize A.