As I just said in the Tom Bombadil thread opened in the Novices and Newcomers forum, I believe JRRT's cosmology was always intended to be consistent. The wraiths exist in a shadowy world perhaps halfway between the physical world and that occupied by spirits. Except when the sun is high and bright they have some sense of sight though it is shadowy and unclear. To add to my previous post Sauron was the Necromancer. Necromancy was the "art" of being able to raise or influence the dead. HoME suggests that Sauron may have been responsible for attempting to gather the spirits of slain elves during Morgoth's reign. This fits with my view of the Nazgul.
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Beleriand, Beleriand,
the borders of the Elven-land.
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