If you cast an instant or sorcery spell, Sphinx-Bone Wand’s ability triggers and goes on the stack on top of it. The ability will resolve before the spell does.

If the targeted permanent or player is an illegal target by the time the ability resolves, the ability doesn’t resolve. You won’t put a charge counter on Sphinx-Bone Wand and it won’t deal damage.

If Sphinx-Bone Wand leaves the battlefield before its ability resolves, you won’t be able to put a charge counter on it. As a result, it won’t deal damage.