There were many shafts and windows letting light into Moria were there not? He might entered trough one of those? If not, I don't think he should have any problems sneaking past some orcs. Gollum (to some extent) had the ability to climb walls and roofs, like when Sam and Frodo first discovered him after the fellowship was broken. He climbed down a steep hill with his head first. I definitly don't think getting into Moria should be a problem for someone so used to mountains as Gollum.
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