In a nutshell, the derivation of the Stiefel-Whitney and Chern classes for a (let's say) closed space $X$ is as follows: For $k = {\mathbb{R}}$ or $\mathbb{C}$, any $k$-line bundle $\xi \to X$ is the pullback $f^*\gamma$ of the tautological bundle $\gamma \to k\mathbb{P}^\infty$; and since $k{\mathbb{P}}^\infty$ is a $K(\pi, n)$, the pullback $f^*[k\mathbb{P}^\infty]$ classifies $\xi$ up to homotopy. For $k = \mathbb{R}$, we have $\mathbb{RP}^\infty = K(\mathbb{Z}_2, 1)$; and for $k = \mathbb{C}$, we have $\mathbb{CP}^\infty = K(\mathbb{Z}, 2)$. Thus in the real case, we have a characteristic class $w_1(\xi)\in H^1(X, \mathbb{Z}_2)$; and in the complex case, we have a characteristic class $c_1(\xi)\in H^2(X, \mathbb{Z})$. For a general bundle $\xi \to X$, we can use the splitting principle to define classes $w(\xi)\in H^*(X, \mathbb{Z}_2)$ and $c(\xi)\in H^{2*}(X, \mathbb{Z})$.
This construction seems to rely on the apparent coincidence that $\mathbb{RP}^\infty$ and $\mathbb{CP}^\infty$ are both Eilenberg-MacLane spaces. I therefore have a question:
We can perform the analogous construction for quarternionic line bundles (unless I'm mistaken) and similarly show that they're all pullbacks of the tautological line bundle $\gamma\to \mathbb{HP}^\infty$. Unfortunately, $\mathbb{HP}^\infty$ is not a $K(\pi, n)$. Is there an analogue of the Stiefel-Whitney or Chern class that classifies quaternionic bundles; and if so, how is it derived?
My apologies in advance for the vagueness of the question. (Something like, "Go read [book]" is a totally valid response.)