I play Wages of Pain, opponent plays Defy, do I still get to play a gold gear token?

No, you do not get to play the Gold gear token.

The Sequence

1. Playing the Spell: You play Wages of Pain, targeting an enemy unit. It enters the chain and the state becomes CLOSED.
2. Reacting: Your opponent plays Defy in response, targeting Wages of Pain.
3. Resolution (LIFO):
   • Defy resolves first. It counters Wages of Pain.
   • According to Rule 425.1.a and Rule 425.1.b, a countered card does nothing, is cleared from the chain, and is not considered to have been played.
   • Because Wages of Pain was countered, its instructions are never executed. Therefore, you do not get to play the Gold gear token.

Reasoning

While some spells have instructions that execute independently of the target (as discussed in the FAQ regarding Wages of Pain and Retreat), that only applies when the spell itself successfully resolves. Because Defy prevents the spell from resolving entirely by countering it, none of the spell's instructions—including the generation of the Gold gear token—occur.