[Keeper of Dol Guldur]

Wings or no, in those days the Balrogs weren't as apt to wear the forms of shadow and they were made of flame - but are still spirits and can do some amazing things. Flew probably just means they weren't putting feet on the ground, and since the Silm explicitly states that they came in a 'fiery tempest' (or something similar to that), then I'd say it was less an instance of them even being in a humanoid physical form. I try and imagine several streaks of fire blazing forth low over the ground, burning all in their way as the came, with shadows streaking out behind them (occasionally even twisting, writhing and barrel-rolling around eachother) like some sort of fire storm out of hell (again literally). A spirit of fire doesn't need to follow the laws of human physics.

Also, I was under the impression that it would mostly be Ungoliant's abdomen that swelled even fatter, and Melkor was a very, very strong being. He had spear, fist and black magic to keep her from sinking her teeth in, but he was pinned nonetheless. But if a being is capable of screaming so loud that his servants can hear him from hundreds of miles away, it's not that big of a stretch to think he could hold his own, and that the servants could get there fairly quickly (that being said, if the movie Sam could hold open Shelob's fangs, I think Melkor could).