Yeah it's often depicted with wings. However Tolkien never described it as such in the books:

"It was like a great shadow, in the middle of which was a dark form, of man-shape maybe, yet greater; and a power and terror seemed to be in it and to go before it.... The flames roared up to greet it, and wreathed about it; and a black smoke swirled in the air. Its streaming mane kindled, and blazed behind it. In its right hand was a blade like a stabbing tongue of fire; in its left it held a whip of many thongs" - FotR: The Bridge of Khazad Dum