In Wings 3D, once you've got all your vertex colours done and good, select the entire object and go down to "Colors to Materials" in the popup box that appears when you right click, it should be right above "Vertex Colour". Now itll retain the colours, however using this feature disables the object from using a texture, if later on you want to use a texture, select all of the faces on the model, right click, and select "Material -> Default", and itll be all good. (Some shaders wont work when vertex colours are used as well).
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