I get where everyone is coming from and I agree I like the interpretation of them to have wings, but let’s be real here. The text is very clearly stating that the darkness that the Balrog creates is similar to outstretched wings blocking the light. It’s not saying the demon itself literally has wings, just using a simile to describe it. I’ve always interpreted it similar to how Gandalf creates shadows when confronting Bilbo about the ring in the movie. He’s not actually blocking out the light with his body, his presence and power are absorbing the light to appear more threatening.