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Couldn't resist replying on this thread...
As some others already stated: no where in any writings of Tolkien is there any description of Balrogs with wings... I guess this misconception comes from in the mention of wings in Moria. But those of you who believe they are actual wings as opposed to a wing-shaped shadow must have poor English reading skills indeed or you haven't read the books at all.
Don't remember the exact words in the bridge of khazad dum passage now but wasn't is something like "it's wings spread from wall to wall..."?
Now correct my if I'm wrong, but wasn't this episode in one of the greatest (if not THE greatest) halls of Moria. If they were actual physical wings this would imply the Balrog was immensly tall. This huge size would also imply that:
The balrogs sword and whip would have been redundant as it would have been able to crush Gandalf like a bug.
The wings would also have been made redundant as it would have been able to step over the gorge as if it were a pothole.
Now as you all know the balrog walked (!) out on the bridge (which was just wide enough to pass one man at a time) where Gandalf fought it and cast it down in the abyss by raising the bridge.
All this would have been impossible if the Balrog was gigantic, let alone had wings.
Now there's absolutely nothing in this passage that implies that the Balrog had wings. Sure you could argue that it had wing but was flightless you could also argue that it had a leather jacket. If I said Balrogs wore leather jackets you would call me crazy though.
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