Sauron didn't create the Balrogs!
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Yet so great was the power of his {Morgoth's} uprising that in ages forgotten he contended with Manwë and all the Valar, and through long years in Arda held dominion over most of the lands of the Earth. But he was not alone. For of the Maiar many were drawn to his splendour in the days of his greatness, and remained in that allegiance down into his darkness; and others he corrupted afterwards to his service with lies and treacherous gifts. Dreadful among these spirits were the Valaraukar, the scourges of fire that in Middle-earth were called the Balrogs, demons of terror.
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Silmarillion, Valaquenta
The Balrogs were Maiar, the same order of spirits as Sauron.
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`A blunderbuss, was it?' said he, scratching his head. `I thought it was horseflies!'
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