Do balrogs have wings?

There is Actually one reference to Balrogs flying in the apdx a of RotK under Durins folk it says that when the Dwarves were in Moria delving for Mythril they

"Delved deep at that time, seeking beneath Barazinbar for Mythril, the metal beyond price that was becoming yearly harder to win. Thus they roused from sleep a thing of terror that, Flying from Thangorodrim, had lain hidden at the foundations of the earth.