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In a bowl, place the miso paste, sake, brown sugar, vinegar, salt, pepper and cayenne. Mix to combine. Add the garlic, shallot orange juice and zest, light soy sauce, dark soy sauce and sesame oil. Mix well and set aside. Divide the mixture into two bowls. Reserve one bowl for basting and dipping.
Add the chicken wings to the other bowl and marinate for at least 1 hour and up to 4 hours.
Set a rack on a baking sheet. Spray with nonstick cooking spray. Lay the chicken on the baking rack and sprinkle with salt and pepper. Bake in the oven until cooked through, 25 minutes.
When the wings come out of the oven, allow to cool, and then wrap and store until service.
At service, unwrap the wings and grill to warm through. Serve with the reduced marinade, scallions, sesame seeds and Japanese pickles, if using.