Well they weren’t exactly made by Melkor ether. They were Maiar, angelic-like (for want of a better term) beings of the same kind as Sauron, Saruman and Gandalf. Perhaps it escapes my memory, but I don’t recall anything in Tolkien’s core canon (that is, The Silmarillion,The Hobbit and The Lord of the Rings. I haven’t really delved into the ‘History of Middle-Earth’ set) that suggests they were made by Melkor, and that he corrupted them into his service.
I suppose I should clarify my earlier post about wings. Simply going by the description offered in book II, chapter 5 (‘the bridge of Khazad-dum’) in The Lord of the Rings I’m inclined to feel that they had a winged appearance, but that these “wings” were not really of substance. Given the rather elemental nature of Balrogs I always pictured their form as being quite elemental as well, and such “wings” would be manifestations of shadow or smoke and, perhaps, to some degree of fire as well. At least that’s the image that always visualized in my mind. My image I suppose isn’t exactly what Jackson presented, but isn’t entirely dissimilar ether.