So also the Sirian Overlords. However, at the time when they came to Earth, they traveled the KHAA in their hollowed-out asteroids.

Well, as we have learned, the term 'Anunnaki' (if we choose to use this term) is a composite of many different races, not only Sirians, so one would expect that they come in different shapes and forms. 

Many of them could have used their avatars and shapeshift into anything they wanted, and that's part of it, but let's look at it from another angle as well. 

We know that star races, to be able to travel long distances, need to use nano-travel, and the majority (unless they are highly evolved) take advantage of existing stargates and galactic star lanes to go from one place to another. 

So also the Sirian Overlords. However, at the time when they came to Earth, they traveled the KHAA in their hollowed-out asteroids. 

They were highly developed, technologically, and used what was called a push/pull drive to travel the Universe (something Morning Sky also mentioned in his pre-Terra Papers). 

This way, they could shrink themselves and the ship while entering a stargate and sailing the KHAA on the galactic highways. 

They were known as masters in navigating the KHAA, so they could hide in what used to be called 'hyperspace' until they chose to enter space/time again and surprise their enemies by seemingly popping up from nowhere with whole armadas of asteroids. Point in case is that they had the ability to expand themselves instantly as soon as they left the KHAA and entered what LPG-C calls 4-space/time, or the 'known universe'.