She lives in an apocalyptic world (far in the future) where it is necessary for everyone to be able to fly. Earth ponies are (nearly?) extinct and unicorns are rather rare, but not in danger of extinction. Most unicorns use their magic to be able to fly (different sorts of magic).

She for examples uses rings/halos to strengthen her magic, which allows her then to make wings appear on the biggest ring. Of course that's taking alot of energy and she can't hold the wings up for too long, but that's the difficulty with being an unicorn in this world.
When she sleeps she of course removes the rings. They're just something like equipment and/or accessories to her.