Basically the title. As displayed by the appearance of Sunny's horn and wings, they're magically generated and only appear every once in a while rather than being permanently attached to her body. Which suddenly got me thinking: If you went up to Sunny while she was in alicorn mode and touched her wings, would she be able to feel it? Can they even be touched at all? Like, given that it's magic, your hand might just... go right through?

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I think they behave like temporary extensions of her nervous system, and are physical constructs that can phase in and out (if Make your Mark is anything to go by, Sunny is still to master controlling manifesting them).

I agree with the Blue EMU on this. I believe that Sunny's wings and horn due have a certain level of physicality to them. This physicality in part is what allows Sunny to fly, as they do generate lift similar to the wings of a conventional bird. And naturally I have a feeling the wings and horn will become permanent eventually, after which they will look more like the wings and horn that Twilight had in G4 when she became an Alicorn.