He certainly had a physical form (or physical formS) against Beren and Finrod; Lúthien threatened to take it from him.

He of course regained a physical form after Númenor sank, shortly after which it was killed by Gil-galad and Elendil. And then much later in the Third Age he regained yet another one.

It is a change, by Peter Jackson, one that leads to a common misconception (see also: the rest of this thread, with people seemingly unaware that Sauron had a physical, non-Eye form in the Third Age).