Here's another view (if it's been introduced before, please forgive me)
At the fall of Thangorodrim, a few Balrogs escaped. Given how "Anfauglith could not hold the battle" (or something like that) of the War of Wrath, do you REALLY think a Balrog could've walked/ran away from Angband. And if it did get through the battle, would it have been able to get past Belegost, Nogrod, and all the Silvan Elves and Drúedain on foot? And, since Khazad-dûm was already inhabited at the time of the War of Wrath (yes, there are quotes backing that up, I'm just too lazy to look for them right now), could the Balrog have entered it by any conventional means? It is most likely that he/it had to fly to Zirak-zigil and descend by way of the Endless Stair to the "depths of Moria". If he/it had entered Khazad-dûm by a gate or a door, then the Dwarves would've killed it (or at least recorded its presence). There are also quotes from Unfinished Tales and some of the HoMe books in which Balrogs have flown (like I said, I don't want to try to find these right now. If I feel like it, I may find some later [img]smilies/wink.gif[/img] ). Unless they have propellers, this indicates that they do, in fact, have wings.
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