Transform an object into an animated movie clip will allow you to animate this object on an own timeline, separated from the main timeline. This is an animation inside the animation!
On a new layer, draw a shape.
Select it and click on 'convert to symbole' in the 'insert' menu.
Select 'Movie Clip' and give it a name.
Double-click over your movie clip to edit it.
You see that you are not longer on the main sequence, you've entered on the movie clip symbol, which owns his own timeline.
By the same way you've created and animated your first character, draw and animate the movement of a flying character. For the moment, just animate the wings, you'll make the flying later.
When you want to give a complicated movement to an object, you can draw a line that will be a 'way'. The object will follow the line on a 'guide layer'.