Incarnate Balrogs?

[Elenhin]

For example, Ecthelion drove his helmet-spike into the chest of Gothmog, Lord of the Balrogs.

That's from the Books of Lost Tales. Those Balrogs were almost completely different form the one seen in the Bridge of Khazad-Dum; they weren't even Maiar, but created by Melko.

I don't think it can be said with certainty whether the (LotR-era) Balrogs were primarily corporeal or not. I'd tend to say they were, because I believe that they had incarnated themselves in physical forms in order for Morgoth to be able to boost their fighting abilities. This conclusion is also supported by the fact that Balrogs are always seen in the same shape (that "thing of slime" is hardly evidence of shape-shifting).