Ah, so maybe they did have wings...

[Reginald Hill]

We know at least that the Moria Balrog had no wings because if it did why didn't it fly out of the pit below the bridge before it hit the water? As for the passage reffering to the long distance they traveled I believe that since the balrogs were not completely solid creatures they could easily be caught in the wind and sort of drift to the help of their master. I can not be entirely sure of this though because I hardly know the story of the original balrogs long before the War of the Ring.