One could also look at unofficial sources, as well. I have the Lord of the Rings RPG, by Iron Crown Enterprises, in which they depict the Balrog with wings. One could also look at the Advanced Dungeons & Dragons, Second Edition, Monster Manual picture of the Pit Fiend which is based on the Balrog (in my opinion).
One thing I just thought of....
This could just be the way that this particular Balrog looks like, others could have other large similar monstrous form without wings. I believe the Balrogs were at one time creatures that could alter their shape as many evil things could, but due to massive uses of power they became stuck in these forms. I'll have to look through some books to be sure, though.
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