After getting the Lunar Wing in Pokemon Diamond, Pearl or Platinum you can take it to Canalave City. In Canalave city is a NPC called Eldritch who is the same one who took you to Fullmoon Island. Giving Eldritch the Lunar Wing will wake his son from his nightmares.
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You don't get Ho-Oh's lunar wing, you get Cresselia's Lunar wing when you go to the island when the child of the sailor in canalave city falls sick...
in canalave city, go to sailor eldritch's house post hall of fame. his son is sick and he needs the lunar wing to make him better. he takes you there where you will meet cresselia. it runs off and leaves the lunar wing. sadly you have to relinquish the lunar wing now because the sailor needs it. now cresselia is flying around sinnoh like mesprit, awaiting capture.
Get your National Pokedex and talk to the sailor in Canalave City. He'll ask you to sail to Fullmoon Island for a Lunar Wing to cure his son, put to sleep by Darkrai.
It relates to the ghost in pokemon white 2/black 2 where she haunts the strange house and in it is the lunar wing and then cresselia will appear on Marvelous bridge if you have the lunar wing.
You don't need a cheat.After beating the elite 4, go to canalave city and talk to the sailor's son.He has a nightmare.Then talk to the sailor.He will take you to fullmoon island and there will be a lunar wing there.