Is THIS how you imagined the vampires?

[Raynor]

There is an interesting bit in BoLT II:

Originally Posted by The fall of Gondolin

Then arose Thorndor, King of Eagles, and he loved not Melko, for Melko had caught many of his kindred and chained them against sharp rocks to squeeze from them the magic words whereby he might learn to fly (for he dreamed of contending even against Manwe in the air); and when they would not tell he cut off their wings and sought to fashion therefrom a mighty pair for his use, but it availed not.

It is interesting that Melkor is here depicted as not being able to fly (nor do we see in other versions any mentioning to the contrary); if this were true, it would imply that neither could Sauron, who, if anything, is a lesser being than he.

Also, if Sauron was able to fly, I believe it is likely he would have done this other times too, but there is no record of it.