Why don't we try not venting about the wings issue.
Since the Balrogs were spirits, normal laws of physics didn't apply to them. As much as we'd like the idea, they didn't teleport either. Urgency makes you work harder, and if you hear your master screaming like he's getting munched by a giant spider for dessert, you'd hurry up darn quick to go save him. Without a fana, an Ainu appears as a naked flame. Have you ever seen how quickly flames spread? Now multiply that by twenty or thirty or however many Balrogs there were. That's one damn big wildfire.
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But Melkor also was there, and he came to the house of Fëanor, and there he slew Finwë King of the Noldor before his doors, and spilled the first blood in the Blessed Realm; for Finwë alone had not fled from the horror of the Dark.
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