The activation of the card "Follow Wing" can be done at any time, except during the Damage Step.
The effect "it cannot be destroyed by battle or your opponent's card effects" does not make a Chain Link.
The effect "At the start of the Damage Step, if it battles an opponent's Level 5 or higher monster: You can destroy that opponent's monster, and if you do, the targeted Synchro Monster gains ATK equal to the original ATK of the destroyed monster, until the end of this turn." makes a Chain Link. (It does not target. Also, this effect cannot be activated in the same Chain Link as the card.)
The effect "When that monster leaves the field, destroy this card." does not make a Chain Link. (It applies even during the Damage Step.)