:) (see "you can't trap justice it's an idea")
Angels and the whole "world of souls" all are immaterial, they are ideas, thoughts, just like math, or your money in the bank or computer programs. They are not "in this world", but "exist" in parallel to it.
Now, if we compare the "world of souls" to programming, I'd say angels are objects of a certain type, having certain qualities and properties. Like: "can fly" - true, "observes G-d's commands" - true, "has free will" - false. And G-d runs the program and everything's ticking.
In this analogy, heaven is just the workspace where the program runs, it is not an object on its own.
Once, in the times of the Bible, people believed [that the Earth was flat and] that the "firmament" mentioned (in the first line on Bereyshis) is actually a firmament, that divides the world into an upper and lower world.
Turned out there's no firmament so we had to change our story.