Downers who are seriously interested in getting to the bottom of the wings question will no doubt find an essential addition to Fordim's not quite exhaustive bibliography in this thread, despite its shattered condition (the result of several wars and violent migrations):
Were Balrogs winged?
Make sure to lay in a supply of strong coffee and powerful aspirin before you begin...
P.S. -- Wight, I admire your tenacity -- still hanging on to the no-wing dream after all these years. It's over, Johnny! It's over!