[Son of Númenor]

I think you mean Angband.

Edit: Someone has decided to anonymously rate me down for this post, saying that it was incorrect. I don't object to the negative rating (I do object to the rudeness of the comment) although in truth, this post isn't incorrect: Nimrodel_9 almost certainly did mean Angband. I am certainly at fault, however, for failing to elaborate; the balrogs weren't 'formed' in Angband, or in Utumno or the Void. They were, as The Ninth Valar posits, merely corrupted Maiar - they were 'formed' with the rest of the Ainur in the Halls of Ilúvatar, and corrupted into the service of Melkor. Once 'fallen' from their original forms, they became, essentially, demons, incapable of discarding their shadowy, fiery forms.

Thanks for catching me on this ill-advised post, Anonymous Rater. In the future, I'd be much obliged if you'd sign your name, or at least make your remarks sound less hostile.