Yes. My justification for depicting them as such is threefold:

1. Wings are awesome
2. There is evidence that they had wings in Fellowship of the Ring
3. Wings are awesome

Don’t worry, as a lifelong Tolkien nerd I am extremely well-versed in possibly the oldest Tolkien controversy: whether Balrogs actually had wings.  Having read essentially all of Tolkien’s letters and published writings, my personal interpretation is that when he first created Balrogs and wrote them into the Silmarillion, they did not have wings, but were just big smoky monster-men. However, years later when he was writing Fellowship of the Ring, Tolkien decided that Durin’s Bane (the Balrog Gandalf fights) could use a pair of wings.

In short, Tolkien originally didn’t include wings, but later changed his mind. The fact that earlier texts contradict isn’t really an issue, since we have to remember that nothing but The Hobbit and Lord of the Rings were actually completed for publication. Even the Silmarillion is largely just his notes.  Tolkien also originally wrote that there were hundreds of Balrogs, and they were relatively weak. In later writings, though, he changed it to where there were at most seven Balrogs, and they were among the most powerful evil creatures next to the Dark Lords themselves.  Ideas change, and it’s all up to interpretation how you want to visualize this fictional world.

Never get too hung up on “Tolkien canon,” because most of it was posthumous and determined by other editors. Better to look at it as a collection of fun ideas by a very imaginative author, and I say this as a lifelong Tolkien geek.