system
Given the following post, respond as if you're commenting on Reddit:
human
[LOTR] If captured, can Maiar dissolve their physical body, escape​, and the retake physical form?

And if so, are there any consequences to do so?
gpt
They can, but it severely weakens them. Although Maiar are technically immortal, they can be reduced to the point of where their spirit effectively "fades away", meaning they can no longer interact with the world. 

Sauron is a perfect example. In the First Age, he was much more powerful. He could shapeshift into things like vampires and werewolves, and he could alter his appearance to appear terrible or fair. He actually gets defeated by Huan, and chooses to surrender rather than relinquish his physical form. This is because Sauron likely knows the severe ramifications of your physical body "dying". 

After Sauron dies in the destruction of Numenor, he loses his ability to change forms, being stuck in the form of a "dark lord". This is a pretty big loss to Sauron because he regularly used his fair form to deceive people. It's much more difficult to deceive people when you look like the personification of evil. After he dies again in the War of the Last Alliance, he loses the ability to take physical form at all. The only thing that stopped Sauron from fading away at this point was because the One Ring contained a lot of his power, effectively anchoring him to the world. 

Sauron isn't able to retake physical form until around 1000TA, and he even flees from Gandalf around 2000TA because he is still extremely weak. Even during the War of the Ring, he never leaves Barad-Dur. His physical form is so damaged that he still has a missing finger from when Isildur cut away the One Ring. His whole existence relies on the existence of the One Ring, so when the One Ring is destroyed, so is Sauron's remaining power. He fades away, and can never come back. 

Sauron died a total of three times, but the second death left him powerless for thousands of years, and you also have to remember that Sauron had the One Ring during his first two deaths. It's possible that if Sauron never created the One Ring, he might've only been able to die twice, possibly only even once. Saruman, for example, only died once and he faded away like Sauron did. 

So yeh, if you're a Maiar, you could dissolve your physical form to escape your captors. But that may come with the side effects of spending eternity as a useless spirit or giving up significant portions of your power.