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Though nowhere in FOTR is said that they have wings. Shadows like wings - and the next time when Tolkien spoke of wings, he meant the shadows.
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I'm sure it said in FotR that the Balrog the fellowship encontered in Moria had wings. I just fetched my book, and it does compare the shadows to wings,
"the shadow about it reached out like two great wings"
but then it speaks of a more physical description of the beast itself,
"Suddenly it drew itself up to a great hight, adn it's wing were spread from wall to wall"
or something along those lines?? I don't know if that's right, but it seems to me that even if it couldn't fly, it certainly had wings.