There are essentially two methods to get what you want, and you can use them separately or together:
Butter and other saturated fats (i.e. bacon fat or even chicken fat) will do wonders to "bind" sauces to chicken. Among other reasons, it's partly because saturated fat is solid at room temperature and still fairly viscous at moderately higher temperatures.
In fact, traditional "wing sauce" is invariably some combination of hot sauce and butter. The butter helps cut the spiciness and also helps keep the sauce attached to the meat.
I use this technique for ribs far more often than chicken, but the idea here is to make the sauce into a glaze by reducing it.
Set your oven to broil and apply a thin coat of sauce to the meat; make sure you cover it completely but don't glob it on. Now put the meat on a rack beneath the broiler and wait until you see the sauce starting to bubble (should be no more than 1-2 minutes if you've applied enough sauce and your oven is hot enough). Then take it out of the oven. Repeat several times until you've got a thick, sticky coat of sauce (usually around 5 times for me).
Note that if the sauce is very thick (i.e. a store-bought BBQ sauce) then you'll actually want to water it down a bit first.
For chicken I honestly prefer to just throw in some butter, but you can use either technique as long as the meat isn't too lean.