I don't play with Nazgul very often, but frequently play against them, so I feel like I know their tricks fairly well.
Nazgul are the ultimate disruption casters. They ruin heroes, make good forces break more easily, and generally throw a wrench into your opponent's best laid plans. However, unless riding Fell Beasts, they are support units only and are not your heavy hitters. Even 'fighty' wraiths like Khamul or the Knight of Umbar can be easily slain by one lost combat to a powerful hero. Black Dark is usually a trap, so don't let it distract you from the much more profitable transfix/compel.
Because of this, the most effective evil armies will include other heavy hitters in the force to munch through the opponent while the Ringwraiths neutralize the powerful units on the other side of the field. For this reason, I feel that Nazgul pair well with tougher evil troops, like Morannon orcs and Trolls, rather than the cheap-as-chips but oh-so-disappointing vanilla orcs.
Things to target: powerful heroes, enemy casters (wizards hate Nazgul - one channeled drain will can turn Gandalf the White into 220 points of useless), and Monsters.
Things to avoid: Powerful mounted heroes who can move 20" a turn via heroic combats (my Glorfindel on Asfaloth eats Nazgul for days if he can resist the first transfix), strength 4 troops (Defense 8 looks nice until you're surrounded by a pack of angry Khazad Guard), and Monsters (everybody loves to go wraith bowling with a good hurl, or rend on their STR 4).
I think your suggested list looks fun and themed. Few armies will be able to easily deal with 3 wraiths every turn (I have been there and it sucks), but regular orcs and warg riders lack the punch to make up the Wraiths' deficit of combat prowess. I'd take Morannons, uruks, or the odd troll to make up the difference. I think a couple of cheap wraiths can be more useful than a single tooled one because you can be casting multiple spells each turn. This is much harder to deal with overall.
Finally, consider the game-changer that is the fell beast. Monstrous cavalry are brutal, and the basic fell beast is absurdly cheap for what it brings to the table. A tooled out Witch King on fell beast is devastating on the charge and thanks to his spells is hard to counter without a cheeky Galadriel hiding behind the ranks.
Have fun!
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