I believe the expression of the Satan 'dancing' is more to demonstrate his joy at succeeding in his job and is not to be understood in the literal sense.
With regards to the Gemara you bring in Megillah, the Ben Yehoyada here explains that the 'dancing' was more a celebration of his success in generating a great sense of depravity and immorality:
...בָּא שָׂטָן וְרִקֵּד בֵּינֵיהֶן, רוצה לומר ריקד בתאות הניאוף
The Satan came and danced amongst them - This means to say that he danced at the desire for immorality/adultery
In the case of him 'dancing between his (the ox) horns' as mentioned in Berachos and Pesachim - the Rashbam in Pesachim writes:
מפני שהשטן מרקד - לאו דווקא אלא משוגע כדמפרש לקמן
Because Satan dances between his horns - not specifically, but rather to make it mad, as we will explain later
So the implication is that this dancing is not to be taken literally but rather done in an act to antagonise the ox into action.
It is also worth noting here that on the subject of arguing for the sake of heaven both the Nodeh BiYehuda and the Chasam Sofer say that is rare to find nowadays an argument that is truly motivated for the sake of heaven - and the result is that the Satan 'dances at such occasions' - namely, he instigates such 'righteous arguments'. Again understood in a non-literal sense.