Balrog Armor?

[Lord Gothmog]

I have looked into this question and found some answers for you.

BoLT II: Fall of Gondolin/Glorfindel v Balrog

The ardour of Glorfindel drave that Balrog from point to point, and his mail fended him from its whip and claw. Now had he beaten a heavy swinge upon its iron helm, now hewn off the creature's whip-arm at the elbow. Then sprang the Balrog in the torment of his pain and fear full at Glorfindel, who stabbed like a dart of a snake; but he found only a shoulder, and was grappled, and they swayed to a fall upon the crag-top. Then Glorfindel'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 double his stature); and it shrieked, and fell backwards from the rock, and falling clutched Glorfindel's yellow locks beneath his cap, and those twain fell into the abyss.

Also

From BoLT II the Commentary on The Fall of Gondolin.
CT says the following:

The Balrogs are 'demons of power' (p. 181); they are capable of pain and fear (p. 194); they are attired in iron armour (pp. 181, 194), and they have whips of flame (a character they never lost) and claws of steel (pp. 169, 179).

This would certainly allow for an artist to put such armour in a picture. However, I don't know if there is any evidence for the armour to have been retained as the Balrogs became more powerful and less numerous in the later writings. (still have a book or two to check )