In Platinum, you must talk to the sailor in Canalave City and he says his son is having bad dreams. You can have him take you to Full Moon Island, which Cresselia is inhabiting. When you get to the clearing where Cresselia is in, it will escape and start roaming Sinnoh. You can find out where it is using the Poketech. When it dissapears, it will drop the lunar wing.
You cannot get the lunar sing in Soul Silver.
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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.
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.
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.
not much all that happens is cressilia becomes a running Pokemon
you do not need the action replay code. lunar wing has no use but to cure the sailor's son. It only works after full moon island is unlocked, so getting it before would be pointless as you cannot sell it, and spoils your chance to meet creselia