All species? yeah, pretty much. But not all individuals. Most are wingless and do traditional termite work. Every so often, a colony will send out a swarm of new reproductive termites to start up new colonies and those are the winged ones. If they actually manage to not get eaten they'll remove their wings to start the new nest.

Ants do the same thing.

But if you're worried about termites, and live in a termite prone area, be sure to invest in an inspection and bonding.