You can set subsurf on in Wings by hitting Shift+Tab (View/Quick Smoothed Preview in the menu).
Wings would be a dream to model in if I could model in subsurf preview like in Blender. Furthermore, Wings lack isolines, the subsurf is still controlled by this control cage.
I don’t want to turn this into a Wings 3D Q&A, but suffice it to say that Wings 3D’s subdivision surfaces do not appear to be up to snuff by any stretch of the imagination. It looks like the bare beginnings of an implimentation. It doesn’t appear to support changing the subdivision level (only one itteration), and it doesn’t update in realtime. And it has some other rough edges as well. It’s not particularly usable yet, in my opinion.