Do Balrogs Have Wings?

[Aiwendil]

Obloquy wrote:

Melkor, Sauron, and the Balrogs all eventually lost the power to shed their corporeal form and "reclothe" that they had in their beginnings.

We have numerous quotes indicating that Melkor and Sauron became permanently incarnated. But do we have any certain evidence that the Balrogs did? I know that a good case can be made for your position (as indeed you did in the post you link to), but I'm afraid I can't see the possibility that the Balrogs still could change their shape as being inarguably disproven. Or perhaps there is some quote that has slipped my mind.