Our J/Boat has a 7' 4" draft (with a pretty conventional J/Boat fin keel). Our rudder has (as I recall) about a 6'4" "draft".

A deep and powerful control surface on the rudder has a bunch of advantages when the boat is heeled or in chop. But there is the issue of drag that has to be considered -- every thing in excess has consequences.

I definitely WOULDN'T put anything like a wing on your rudder. IF it were such a good idea, it would have been done before by many others. You really don't want to be adding weight down there from just a mechanical standpoint, forgetting the hydrodynamic issues. Then there's the "hooking" something; and the consequences of backing down on something and imposing weirder and increased loads on the rudder shaft, bearings, etc.