Very nice idea, there are some comments, though:
1) The halberd he's carrying is way too small, it needs at least a thicker staff.
2) Try highlighting your minis by layering, not drybrushing, as it tends to look dirty and chalky especially with grey and on large surfaces (The Balrog qualifies for both).
Well, other than that, it's a nicely done conversion. Your only problem might be that GW folks won't let you use it in the stores (some LotR license thingy prohibits them combining LotR and Warhammer...)