[Keeper of Dol Guldur]

I think that maybe the balrog shadow body cloak had the consistency of a thick cloud of ash, and when they hit the underground lake, like when you pour some water into a filled up ashtray, it got gooey. Also, with any heat and lava below the earth, maybe it just fed of those. Mmmmmm lava. As for falling with or without wings, have you ever thought that it didn't see the fall coming and just barely had enough time to take Gandalf with it rather than just be beaten back, or attempt to fly back up. Also, maybe it was (if it had wings) unable to spread them and maneuver upwards in that crevice, that would prove that it was really big, but the chasm was only 100 feet across, so he just may not have been able to maneuver. God, this could be one of those endless replies.