I found a really cool Photoshop tutorial on how to create a fire effect, to use here. I still need a bit of practice though. I could have reworked it more, but this strip took me over six solid hours of work to put together as it was.

Balrogs are demon-like creatures of fire and shadow in J. R. R. Tolkien's Middle-earth setting. Besides being "a dark form, of man-shape, maybe, yet greater", there is little authoritative information on the physical appearance of Balrogs. The one encountered by Gandalf and the Fellowship of the Ring in Moria carries a whip (although not an axe, as this one does). But there is no real consensus on three major physical details of Balrogs:

1. Their size. The quotation above, from Book II, Chapter 5 of The Fellowship of the Ring, strongly implies that Balrogs are "greater" than men, yet another section in the same chapter says of a doorway that the Balrog passes through: "...orcs one after another leaped into the chamber" and "...clustered in the doorway." To some this reads as though it was a man-sized doorway, through which a larger creature would be unable to pass.
2. Their solidity. Some argue that, being corrupted Maiar, Balrogs should possess the ability to change shape and become insubstantial - which would provide one way for them to walk through a door otherwise too small for them to pass. However, Sauron is also a Maia, and has over the years lost his ability to shift shape, so there are arguments in that direction as well.
3. The big one, whether Balrogs have wings. This has been the subject of many an extended argument between fans of Tolkien's work. The evidence is ambiguous at best. Depending on your interpretation of Tolkien's text, you can argue quite vehemently that Balrogs either do or do not have wings. There are strident supporters in both camps, who will argue their position at length. If you want to start a fight at a fantasy and science fiction convention, merely go into a room with a large group of attendees and shout out "Balrogs have wings!" or, equally as effectively, "Balrogs don't have wings!"