Do balrogs have wings?

[Morgul Queen]

...The fire in it seemed to die, but the darkness grew...it drew itself up to a great height, and it's wings were spread from wall to wall...

These quotes would suggest that the Balrog's wings were shadow for is is after "the darkness grew" that the wings were spread perhaps suggesting that they were the Shadow from the Flame of the monster, It may also be suggested that it was a large creature "...It drew itself up to a great height...". This quote gives reason to believe that the demon was rather large.
Oh, and By the Way...is it Balrogs or Balryg (the plural)?