You do not have to complete entire Balrog without falling. You just have to reach Balrog Main Deck. Complete the jumping section located immediately before area above the city in the sky (which is Balrog). You will start off the map and must go to the right against the wind by jumping from one flying platform to another. Be careful and do not jump on the left edge because the wind may blow you away from it. The game will save your progress when you step on the checkpoints. If you fall, instead of respawning exit the game then open it again to resume from the last checkpoint.