Melian took on a real, physical form to marry Thingol, and to bear Luthien. "In
that union she became bound by the chains and trammels of the flesh of Arda. In
that form she bore to him Luthien Tinuviel; and in that form she gained a power
over the substance of Arda". (From "Of the Ruin of Doriath".) That's a physical
form, and I think it's quite different in kind from the forms of the Valar (and
Maia) in Valinor.
I imagine the non-physical manifestations of the Valar (and Maia) as being
something a little like their rearranging the light so that they are visible in
the light of this
world.
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Do we find happiness so often that we should turn it off the box when it happens to sit there?
- A Room With a View