I have no knowledge in this area, this is purely a guess and so I am sharing it not to inform anyone but in the hope someone who does know can tell me if I'm wrong:
When I thought about this in the past, I assumed they evolved in sea creatures first - where even very small flaps or mini wings/fins could improve hydrodynamics and/or swimming control, without needing to make a single jump from useless to being able to fly. But I've not looked into whether that is the case.
"Two major rival published theories are based on the roles of feathers in insulating the body against heat loss and in providing an aerodynamic surface for flight. However, because of the lack of knowledge about the roles and ecological relationships of protofeathers and of the most primitive feathers, it is not possible to test strongly either of these theories, or others as proposed in this symposium, against objective empirical observations to determine which is falsified or is the most probable"
- https://academic.oup.com/icb/article/40/4/478/101404#
When I thought about this in the past, I assumed they evolved in sea creatures first - where even very small flaps or mini wings/fins could improve hydrodynamics and/or swimming control, without needing to make a single jump from useless to being able to fly. But I've not looked into whether that is the case.
Edit to add two quotes from a quick search:
"Thus, early feathers functioned in thermal insulation, communication, or water repellency, but not in aerodynamics and flight." - https://www.britannica.com/animal/bird-animal/The-origin-of-...
"Two major rival published theories are based on the roles of feathers in insulating the body against heat loss and in providing an aerodynamic surface for flight. However, because of the lack of knowledge about the roles and ecological relationships of protofeathers and of the most primitive feathers, it is not possible to test strongly either of these theories, or others as proposed in this symposium, against objective empirical observations to determine which is falsified or is the most probable" - https://academic.oup.com/icb/article/40/4/478/101404#