Sauron was originally a Maia in the train of Aulë. Morgoth tempted him, and brought him over to his following, during the early days of the world. It was definitely before Galadriel was born, because, in the Second Age, when Sauron (as Annatar and Aulendil) went around to all the Elven kingdoms, Galadriel said that she didn't remember any Aulendil in the train of Aulë in Valinor.
I don't believe that it is said anywhere that Maiar are bound to Arda.
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But Melkor also was there, and he came to the house of Fëanor, and there he slew Finwë King of the Noldor before his doors, and spilled the first blood in the Blessed Realm; for Finwë alone had not fled from the horror of the Dark.
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