Personally for me it's whoever started the wing or if by mutual consent (Player 3 says ooh look an Anaconda and players 1/2 reply roger) it can be changed. Many use voice comms to decide.
Some wings deliberately stay split up in combat taking on 3 different ships unless 1 players shields fail and everyone rallies round to help them escape or win. It kinda depends on what you made the wing to do.
When helping new players I pretty much always keep an eye on and follow them.
In summary I don't think there really is an etiquette so to speak
I hardly use wings at the moment (most of my friends are in other games and I've been exploring since December), I do use them heavily for Fuel Rat operations though where the client is always the leader should we happen to escort them to a station or whatever else after saving them.