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The questions are:
No, he did not.
In a letter to a Miss Beare (Lett #211, written 14-Oct-1958) Tolkien does say that Sauron took the Ring to Númenor. However his more mature thought on the subject is found in the Akallabêth (Silm 280), which was written in the 1960's (HoMe 9:406). Here Tolkien says that, after the Downfall of Númenor, "[Sauron] arose out of the deep and passed as a shadow and a black wind over the sea, and came back to Middle-earth and to Mordor that was his home. There he took up again his great Ring in Barad-dûr ...". Thus Sauron clearly took the Ring off and left it in the Barad-dûr before he went and humbled himself before Ar-Pharazôn.
To suggest that Sauron took the Ring to Númenor is very problematic: For how would the Ring have survived the Downfall? In the letter referred to above, Tolkien suggests that Sauron might have been able to carry it back to Middle-earth. However this creates another problem: If Sauron's disembodied spirit was capable of carrying the One Ring, why didn't he carry it into hiding with him after his body was slain by Gil-galad and Elendil?
And there is another issue. We know that mere proximity to the Ring was capable of producing a murderous lust in a noble, if hasty, man like Boromir. How much more would Ar-Pharazôn have desired the Ring? Mere sight of the Ring was enough to provoke Sméagol to murder Déagol, and Ar-Pharazôn was hardly a more noble creature. I question whether Sauron (alone and basically undefended) would have dared take the Ring into the presence of a proud and powerful man like Ar-Pharazôn. Sauron the Maia was powerful, but could he have held off the entire Númenórean army, if the King had wanted the Ring?
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It depends on when in the history of Middle-earth we are referring to.
The Lord of the Rings strongly suggests that the Nazgûl did not wear their Rings. Frodo, who got a pretty good look at the Nazgûl on Weathertop, does not report seeing Rings on their fingers. Also there is no hint of any Ring being left on the ground after Éowyn slew the Lord of the Nazgûl during the Battle of the Pelennor Fields. However, the question is settled by Tolkien in Unfinished Tales, where he clearly states (UT 338) that Sauron held the Rings which enslaved the Nazgûl.
The Nazgûl came into being during the Second Age, after Sauron distributed the Nine Rings to nine men. They were enslaved by the Rings and, in time, ceased to be men - becoming the Ringwraiths instead. Thus it seems certain that after the Nine Rings had achieved that purpose Sauron took them back and held them himself. But this creates problem: What was the fate of the Nine Rings at the end of the Second Age?
If Sauron held the Nine Rings, they must have been in the Barad-dûr at the end of the Second Age. Yet, after Sauron was 'slain' by Gil-galad and Elendil, the Barad-dûr was demolished (Silm 294). Why were the Nine Rings not found and taken (or destroyed) by the demolition party? Probably - athough this is speculation - upon seeing the 'death' of Sauron, each Nazgûl grabbed his own ring and fled.
In this regard, Gandalf's words to Frodo (LotR 1:2) are significant: "So it is now: the Nine [Sauron] has gathered to himself; the Seven also, or else they are destroyed." Thus the Nine Rings were at some time scattered, but had been re-collected by Sauron sometime prior to the War of the Ring. This, I think, supports my speculation.
Exactly when in the Third Age Sauron would have received the Nine Rings back from the Nazgûl is not clear. The Nazgûl appear to have first re-united under their Lord in TA 1980 (LotR App.B). They then captured Minas Ithil in 2002. However at this time Sauron was living in Dol Guldor, and was still very weak (he fled the coming of Gandalf in 2063). The Nazgûl seem to have remained quietly in Minas Morgul until Sauron returned to Mordor in 2941. Perhaps it was not until then that he took the Nine Rings back.
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Did they fly? The debate has largely centered around the description of the Balrog of Moria (LotR 2:5). This description is ambiguous, and may or may not describe the Balrog as having wings. Illustrators have been divided, some drawing the Balrog with wings, some without. Tolkien's early drafts of the passage (HoMe 7:203) do little to remove the ambiguity.
More significant is the later reaction of the members of the Fellowship of the Ring as the Winged Messanger (i.e. flying Nazgûl) flew over their heads (this is the Nazgûl that Legolas shot down). Their first guess was that the Messanger was a Balrog! Clearly what the Fellowship saw of the Balrog in Moria suggested to them that it ought to be able to fly, at the very least it must have had wings.
However it is not difficult to find good reasons for arguing that Balrogs could not fly. Firstly, and most obviously, the Balrog in Moria made no attempt to keep itself in the air after Gandalf broke the Bridge at its feet. (Although we could get round this one if we had to. Even birds will fall if knocked off their perch completely by surprise, and the Balrog does appear to have been taken by surprise. Then, in the confines of the fall in the chasm, perhaps it did not have room to properly spread its wings).
Significant also are the records of the Wars of Beleriand. There is no suggestion anywhere of Balrogs launching aerial assaults. For example, in the Fourth Battle, Dagor Bragollach, the Balrogs came out in the train of Glaurung - i.e. behind him, on the ground
Likewise Gondolin was clearly attacked from the ground, not the air. As Morgoth's army approached Gondolin, "... there was no stay in the advance of the foe until they were beneath the very walls of the city" (Silm 243). There is no suggestion that any of the attackers flew over the walls.
On balance I think we can conclude that Balrogs did have wings, as such they may have been able to glide over short distances, but they were definately incapable of sustained flight.
Did they speak? They must have been able to. As Morgoth's chief lieutenants and commanders of his army, they must have been capable of giving orders to the Orcs and other creatures. No Balrog is recorded as saying anything in The Simarillion, but then the story doesn't ever get 'close' to the them - certainly not as close as it does to the Nazgûl in The Lord of the Rings.
The Book of Lost Tales (which, while hardly canonical, does give some guide to Tolkien's thinking) does record Balrogs speaking. For example, "... Gothmog lord of the Balrogs, captain of the hosts of Melko, took counsel and gathered all his things of iron that could coil themselve around and above all the obstacles before them. These he bade pile themselves before the northern gate ..." (HoMe 2:176). Similarly, Gothmog "yelled" when he was attacked by Ecthelion (HoMe 2:184).
The Balrog in Moria never says anything, probably because it did not speak Westron. It seems to have slept from the end of the First Age until awakened by the Dwarves around TA 1980, after that it does not appear to have ever ventured outside Moria. Thus it had no need or opportunity to learn Westron - a knowledge of Orkish tongues would have sufficed. It is worth noting that Shelob does not say anything either, although she must have been able to speak. Her mother Ungoliant could, and so could her daughters in Mirkwood - so she must have been able to. Perhaps she also did not speak Westron - like the Balrog, she would have had little need or opportunity to learn it.
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