[Keeper of Dol Guldur]

I think a more appropriate question from the beginning would have been, "did the Balrog of Khazad-dum have wings when the Fellowship ran into it?" Valaraukar were spirits of fire, very, very powerful ones. Sauron was a great spirit, and he could change his shape to whatever he felt necessary to look like. Though I doubt a Balrog has the kind of control needed to conceal its fiery form in the body of an elf-look-alike, or a man, it could probably change shape to some degree. Sauron didn't lose his ability to change shape until after his body was badly, badly damaged in the fall of Numenor, and when he returned (I don't think he fully lost the body, because he carried the Ring back to Mordor with him, as he had it in Numenor and nobody noticed (Tolkien's letters)), he had lost the ability but could still at least rebuild a new body. The Balrog had never 'fell'. It was still fairly peachy from its entire age of rest, so I would assume it could shape-shift. As for whether or not the Balrog had wings in Khazad-Dum, it can be seen as literal or metaphorical, and the debate has about as much chance of being settled as those of creation versus evolution, or for some American History, the literal and flexible interpretation of the Constitution. We've argued the points over and over again;

Why would he call them wings, if they weren't wings? How come a 'WINGED' steed of the Nazgul reminded Gimli of the Balrog? The Balrog was a creature of shadow, so of course its wings were of shadow, IT IS SHADOW! How could Balrogs go with 'winged' speed in the Silmarillion to Melkor's aid?

He could of course, have referred to the wings as merely great shadows and clouds and smokes that came off the Balrog in a generic shape that appeared 'wingish'. The Hellhawk could have reminded Gimli of it merely because it was dark shadow against light, and evil in nature. Of course it is shadow, it's a spirit of fire Melkor gave the ability to cloak itself in shadow to it. Going with 'winged speed' is actually a fairly common phrase used about things without wings, it just means really fast. Why did he use the term wings or winged so often? Who knows? Maybe Tolkien envisioned them as winged at these times, maybe not.

Do as I've said before, either weigh the arguments against eachother and pick out the one that seems most likely, keep reading and find out something we haven't, or just stick to original ideas. Do Balrogs have wings? Who knows? Were Sauron's actual eyes, his physical eyes, fiery yellow cat-eyes? Who knows, we could argue that they are, but for all we know that's only a 'spiritual' representation of his vigilance, or metaphor like the 'wings'. Some things we will never know. On the subject of Sauron's appearance, look forward to that as a topic soon, though I daresay it won't be as potent a topic as the timeless debate between the Strict and Loose interpretors of the Silmarillion, and the Lord of the Rings.

"Wings are in the eye of the beholder. . ."