Develop wings from display structures
Evolutionary assumptions: As remarked in several answer evolution tends to be conservative. Every step in the evolutionary path needs to have a benefit over the parent creature otherwise it would loose the evolutionary race. So extra limbs that have no benefit until completely developed are evolutionary not viable. Also as noted nature will tend to energy efficient models, (dolphins and sharks which end up the same via completely different evolutionary paths) the fact that all larger animals mammals and dinosaurs alike had four legs suggest that this is the most efficient system. Remember that an extra set of legs might be beneficial for stability, but it also requires extra attention and more food to mantain.
So assuming that you don't care about how the creature is developed as long as it is feasible I would go for developing wings from display structures. A bit based on the comment of <PERSON> who pointed out the Draco lizards.
Evolutionary path: An ape like tree dwelling creature that would have a set of dorsal fins for display (mating) or camouflage purposes should be able to evolve. 429
That bigger and more flexible dorsal fins would allow for easier attraction of a mate (or better camouflage) pushing the creature in the way of bigger and stronger dorsal fins. If the dorsal fins were situated in such a way that they could extend the range of jumps from tree to tree by increasing the gliding distance this would add the evolutionary push to slowly transform them into wings. With this evolutionary path you could create wings with a benefit for the creature every step of the way.
Critical points: Whether you could create a gryphon this way would be questionable. Evolving from an ape like into something gryphon like is possible. Creating an animal with the size (and more importantly the weight) of a lion and be able to get enough energy for flight is very questionable for me. The largest flying animal was the Pterosuar, with an estimated weight of 250kg, but these were cold blooded, for comparison the wandering albatross (bird with largest wingspan) weighs 12 kg.
Another point against it is that as soon as you would have a gryphon due to evolution it would quickly tend to loose its shape for a more favourable aerodynamic shape. What might be a possibility is that a gryphon would mainly be a ground animal and only use flight to dive upon its pray from above after stalking it on the ground. 671