There's unfortunately little you can do when an insect fails to molt properly. If it's just a limb, you can try to help it out of the exuvium if it hasn't had a chance to harden yet. Messing with the wings usually results in deformed wings and trying to aid in removing the exuvium from parts of the body can result in failing to remove the exoskeletal lining of the tracheal system. Attempting to give aid after the exoskeleton has begun to harden will only cause damage, bleeding, and probable fatality.