[Boromir88]

There might be two explanations - either not all balrogs are the same size (I don't see a problem with that, the balrogs being self incarnate and what not)~Raynor

I'll agree that that is possible. For let's take a look at the quote of the Balrog Glorfindel fought:

"Then Glorifindel's left hand sought a dirk, and this he thrust up that
it pierced the Balrog's belly nigh his own face (for that demon was
twice his stature)"~BoLT II, The Fall of Gondolin

Here, it is specifically referring to the Balrog Glorfindel fought...it was 'that' demon. It's not referring to any other possible sizes of balrogs.

Though I think it's well established through out Tolkien's drafts in Khazad-dum that Durin's Bane was approximately man-sized:

"A figure strode to the fissure, no more than man-high and yet terror
seemed to go before it."~HoME VII: The Bridge of Khazad-dum

Also:

Alter description of Balrog. It seemed to be of man’s shape, but its
form could not be plainly discerned. It felt larger than it looked.~Home
VII: The Bridge of Khazad-dum

Because of the shadow and manipulation of darkness that Balrog had, it appeared larger than what it actually was. A look through LOTR and Tolkien's drafts in HoME VII, stays consistantly referring to Durin's Bane as being around man-high and man-shape. It may appear larger, but really it wasn't.

I think it is important to note that this is only referring to Durin's Bane, not the other Balrogs. So, I think it's possible to assume that Balrogs could come in different height, as you point out they are incarnate and can assume their own forms. Though, I would say that Durin's Bane was approximately man-high, as that is consistant with the drafts and into LOTR. Therefor, it's also reasonable to assume that the Balrog Glorfindel fought can still be twice his height, as it was only referring to that Balrog, no other.

either we have the size of the wings (or of their shadows if you will) is distorted in an environment with a rather fuzzy light.

That all depends upon who we have talking. Is it the omniscient narrator (the author) who's giving us the account and the details, or is he using one of his characters to retell us the details? If it's the characters that are doing the telling for us, than I think it is possible to assume that in the dark environment the conception could be skewed.

A big whimpy girl who is so afraid of a land-locked shadow that when he sees something flying he says "OOH NOO -- that sure looks like that other shadow"??!!??!!~Fordim

Problem here Mr. Fordim is you are comparing apples to oranges. That since Gimli compared the Nazgul flying over-head to the Balrog, that must mean Balrogs have wings. This isn't the case, because it depends upon the comparison that is being made. Lalwende and Folwren have both pointed this out. Let's look at the entire picture here, instead of focusing on just the little frightened quote of Gimli. first I'll start with Gimli's reaction when he first sees the Balrog:

Gimli stared with wide eyes. 'Durin's Bane!' he cried, and letting his axe fall he covered his face.~Bridge of Khazad-dum

Now compare that to Gimli's reaction when he sees the Nazgul and is reminded of a Balrog:

'Praised be the bow of Galadriel, and the hand and eye of Legolas!' said Gimli, as he munched a wafef of lembas. 'That was a mighty shot in the dark, my friend!'
'But who can say what it hit?' said Legolas.
'I cannot,' said Gimli. 'But I am glad that the shadow came no nearer. I liked it not at all. Too much it reminded me of the shadow in Moria - the shadow of the Balrog,' he ended in a whisper~The Great River

I adore Gimli, but let's be frank, he has no clue what he's talking about. It's dark outside, he can't see squat, he praises Legolas for shooting something in darkness that he can't see himself. So, Gimli has very little clue of what is going on.

Lal and Folwren both note that there is a difference here. Your argument is that since the Nazgul was on a winged creature, and Gimli was reminded of the Balrog, this must mean the Balrog has to have wings, or Gimli wouldn't have made such a comparison. You point out an example of a train and an airplane, but you see here, the comparison is flawed.

I can make several comparisons between a train and an airplane, yet know they both have different qualities that make them different. For example, both are made of some sort of metal, both are very very loud, both transport cargo, or people...etc. There's some similarities I've come up with between the two. Just because a train is strictly a land transportation device, and a plane is by the air, doesn't mean there are no comparisons between the two. Obviously a reasonable person will not think it's an airplane on the train tracks. But you can certainly compare the two in several ways.

That's all we have here. Gimli is making a comparison, as Folwren points out, between the fear he remembered in Moria.

First off, Gimli covered his face and cried, when the Balrog came, how do we know what he actually saw or if he got a good image of it at all? So, we don't even know Gimli's picturation of a Balrog...but he does know the fear that he felt when the Balrog came. Shadow can go hand and hand with fear. Especially with the Nazgul who we are told their fear is enhanced at the night time, in shadow:

'Their peril is almost entirely due to the unreasoning fear which they inspire (like ghosts). They have no great physical power against the fearless; but what they have, and the fear that they inspire, is enormously increased in darkness.'~Letter 210

This encounter happened at night where the Nazgul's fear would be enormously enhanced. In which case, as others have noted, Gimli was comparing the shadow that the flying creature caused, to the Shadow of Durin's bane. He's not comparing anything at all to wings or not. Just as one can make similar comparisons between a train and a plane, one is transportation on the ground, the other threw the air....no logical person will assume it's a plane coming at them on train tracks....though their qualities can be compared in several instances. Just as they have different qualities about them, which make them two different things.

There may be debate about this topic, but it is true, Balrogs have wings.!Servant of Shadows

Durin's Bane was not a hulking beast, as has been provided he was about man-high and man-shape. He didn't have horns, he didn't have a giant tail or hooves. He was man-shape (meaning if something was 'man-shape' you wouldn't think he had the body of a rhinoceros)...and he was roughly man-size (around 6 feet).

Not only do we have actual quotes to prove this, but it just doesn't make sense logically either. Durin's Bane leapt, and jumped across fissures...meaning he was quite agile. He also fought Gandalf for several days from the very depths of Moria to the highest peak...with solely his whip (as Gandalf broke his sword) vs. Gandalf's sword. (You have any idea how difficult it is to fight with a whip against a sword?) So besides quotes to prove the height of Durin's Bane, it just doesn't make sense that a 'hulking beast' could be so agile.

My theory is that the Balrog is a Fallen Angel and sent into the firey pits, thus its wings are burned in small portions making it also impossible for long distance flights.

If that's what you want to believe, that's your opinion go ahead. But if you want to argue your opinion than you'll have to provide reasonable support for it...as if not than your opinion simply remains...your opinion.