Ha, no. Chocobo have down and feathers, not steel wings. However, their bodies are so large as adults that they're no longer able to fly the way they did when they were chicks. So they walk around on their two feet.

And they're intelligent. I tend to see them as the most intelligent animals in our world, because they're able to understand human speech and even attempt their own ways of communicating with us-- Sazh's chick certainly had a lot to say and react to various situations.