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Originally Posted by Flavius
In the beginning, when the greater spirits went down to Arda, they could walk unclothed. If they had appearance at all, it was of their own choosing. It is debatable as to whether or not those choices were fixed when middle earth was sundered from Valinor and the west.
Personally, I believe that the form a Balrog chose was a reflection of their nature and was therefore full of fire and darkness. As you well may know, Melkor often strode the halls of middle earth in whatever form he chose. He is, however, much greater than a mere Balrog. Only at the end did he continually use the dark terrible form he is best known for and even then - it was most likely still his choice.
Balrogs have wings if it suits them. As pure spirits, they can most certainly fly but have no need for wings.
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Friend, this is a fine post and makes good sense. Unfortunately it leaves out an important phenomenon: incarnation. Melkor, Sauron, and the Balrogs all eventually lost the power to shed their corporeal form and "reclothe" that they had in their beginnings. This was due to overindulgence in activities reserved for the Incarnates, and to the overuse of certain forms. Their state was similar to that of the Istari, who shared their discarnate nature in their beginnings; the only difference being that the Istari were intentionally incarnated by the Powers, rather than experiencing it as a side-effect of their activities.
You'll hopefully forgive me for not posting all of my sources for this information. Instead I'll merely direct you
here.