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During the Gandalf-Barlog fight on the bridge, it clearly says that Barlog tried to close its wings over Gandalf's head, but was not able to. This is written proof that barlogs have wings.
However, not in LOTR or in the Silmarillion, is it written that a barlog ever flew. On many occasions barlogs could have benefitted from flying, but it seems that they were not able to. This questions the existence of wings.
My explanation to this is the wings are more of a metaphore for willpower of darkness. The fight between Barly and Gandy was more of a competition of whose will is stronger. This means that since Barly was not able to close darkness over Gandy, Gandy had more power and a stronger will at the moment. That is why Barly was required to use physical force - simply the power of his will and thought was not enough.
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