Check out this thread - all the ins and outs of a Wraith army in my view, since I had the same idea a good long while back
viewtopic.php?f=5&t=22362
- General consensus from that?:-
1) Mount them all on Fell Beasts.
2) Get the shadow lord if your enemies either have lots of bows, or are good at using them, as well as some proper fighting Nazgul (beefed up witch king, Khamul, or the Knight of Umbar are all good in my view)
3) Play aggressively, and charge large numbers at once
- Nice to see another Nazgul player
Quick note on your worrying about the low numbers... if you play cleverly then they can overcome many times their number
- the list I usually go up against with it is one from Rohan, which at 600pts (which i usually play at) consists of maybe... 30-40 models? That squares off against 4 Nazgul on Fell beasts, and so far, on the 2 occasions on which the Nazgul have fought it, they've won pretty decisively both times.