Angels appear infrequently in the annals of the Discworld.
There is the Recording Angel whose job it is to referee the Last Battle, at which the Five Horsemen of the Apocralypse do battle with the Auditors. In the older Books of Omnianism, there is an Angel clothèd all in white and bearing an iron book, who presides over the event. Such an angel has come into existence, and has been waiting for this event for centuries. However, by the time the event occurred, he was dismissed as an allegory for something that had already happened.1
There is also a very irritated angel who manifests in a back alley in Ankh Morpork on Hogwatch Eve, out of narrative compulsion, only to discover there isn't a soul to collect as Death has taken pity on the the Little Match-Girl and saved her life. This Angel is therefore monumentally hacked off and feels she has been messed around with something rotten.
It is an interesting fact that while the topography and social hierarchy of Hell is discussed in some detail, apart from glimpses of ethnically-specific afterlives (cf Valhalla), not much is said about a Discworld-specific Heaven. The existence of Angels, however, implicitly suggests that such a place exists, and those who think they have led religious, pure, or blameless lives might end up there. Things are more clear-cut on Roundworld, where in Good Omens, Aziraphale finds himself disobeying the Metatron, in order to save the world from its scheduled Apocalypse. An age-old question which has long vexed philosophers, and which is referenced in Good Omens, has in fact been resolved in the Discworld. In The Science of Discworld II: the Globe, Mustrum Ridcully is completely certain of the answer to the question of how many angels may dance on the head of a pin: precisely sixteen. Apparently, Unseen University wizards conducted research and "went there and had a look".
Angels have clearly entered Discworld folk culture, evidenced by the song All The Little Angels from Night Watch. In Going Postal, in an extremely metaphorical sense, Lord Vetinari offers the possibility of a redeeming angel first to Moist von Lipwig and then to Reacher Gilt. However, only Moist believes in Vetinari as a very unlikely angel...
1 The Book of Tobit, which is held canonical by some Christian denominations and apocryphal by others, describes a similar sort of no doubt confused Angel. He is not best pleased to be told he is now, in the eyes of the Omnian faith, considered apocryphal, and therefore out of the story.)