Considering those nasty Fell Beasts seem to have had a pretty big wingspan, and seem to have been pretty powerful beasts, I don't think they would have used thermals, although they might have used other wind currents. I'm not sure if the Nazgul can normally fly that close to Mt. Doom, the only reason that they did in RotK was that they were speeding to get the One Ring, and got swallowed up in that enormous explosion that resulted.
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But Melkor also was there, and he came to the house of Fëanor, and there he slew Finwë King of the Noldor before his doors, and spilled the first blood in the Blessed Realm; for Finwë alone had not fled from the horror of the Dark.
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