Valar and Maiar can shed their bodies, survive as a spirit, and reclothe themselves

But the Vala (or Maia) could move or pass over Sea. For their bodies were self-made. They houseless as spirits could go where they
would (either slowly or immediately), and could then reclothe themselves. In Middle-earth they usually occluded their radiance.

-The Nature of Middle-Earth, page 414