I've also thought of the Ainur being somewhat akin to angels. Although I've never pondered whether they had wings or not.
So, here's my thought. The Maiar, at least, could change their physical shapes to resemble another body. Sauron did this numerous times, and Gandalf appeared as a man. It would make sense to me then that the Ainur would also have this ability, since they are a step up from the Maiar. Now, I don't know what they would look like in their natural states, but it is entirely possible that they could have wings. Even that they
would have wings if they wanted to. They could just 'become' a creature with wings.
Hope that helps a little. BTW, good references,
mark.