Here are pi-files for Maya 2008 API which will give you auto-completion for the API in Wing. To set them up, extract the zipped maya file to the a directory you want to keep the pi-files in. You'll then want to point Wing to that containing folder. In Wing IDE preferences, go to Source Analysis > Advanced, then you'll want to insert a new Interface File Path to that containing folder.
It's important that you keep the pi-files in the maya folder under the contained folder since they mimic the package structure (i.e. import maya.OpenMaya)
http://wingware.com/pipermail/wingide-users/2008-May/005398.html
The biggest benefit with these is you'll get auto-complete for the Maya
API. The second benefit is if you are using Wing IDE Pro, you'll get to
see the API documentation like doc tags in the Source Analysis view. To note however, right now my parser doesn't get doc tags for inheritied methods, and it only gets the arguments/doc tags of the first description of overloaded methods.
One more thing, the documentation links in the doc tags point to the online documentation, if you want it to go to your local files, simply do a search and replace on the urls.
Let me know if you find any glaring problems aside from what I've mentioned.
-Andrew