How does Sauron get them into play? There's a monster reference card for Balrog, but I don't seem to have a monster token for the Balrog. I suppose it's possible I could have lost it somehow but since it's only been played once and the token was no where near the area the game was played in, it seems unlikely.

The Balrog comes into play when a hero gets hit with the "Moria" peril card. So....not too often, but when it does, heroes beware!

TK