Would 'heaven' not be wherever Eru is? In that case, does Eru live within or without the world and heavens that he created? I think that Eru may exist in the Void himself, and if he does then this may be the location of the 'heaven' where Men go when they die. Whether or not it is a tangible place I could not say. Maybe things only have physical presence once they have left the Void, which may explain why it was a suitable place for Melkor to be sent to; he may have been unable to do harm there.
The Void is not a place where solely evil things are banished to, as beings have entered Arda from the Void, e.g. Ungoliant, who is
not evil to begin with. Possibly Tom Bombadil (but I won't be opening cans of worms tonight).
Does hell exist in Ea? I'm not so sure that it does. To take the example of the Elves, even the most wicked of Elves are still allowed to enter the Halls of Mandos. They may not be permitted to become incarnate again, but neither are they denied entry to this place. And as an aside, I don't equate Valinor with Heaven, firstly as the Elves simply are
not dead, secondly as it reminds me more of lost land of heroes, unreachable by mere mortals.
What happened to Saruman? I think that when he was rejected as his Hroa died, he was simply denied entrance to Valinor, maybe he was even denied by Eru. This would surely be as much Hell to an inhabitant of Ea as anything, denial by Eru himself, being left to find a way in the world without him.
Now as to the Orcs, I think that there is an Orcish equivalent of the Halls of Mandos. The Orcs may have been corrupted or bred from Elves, but surely their essential nature as deathless beings would not have been able to be altered? They could not have been immortal and then be made to be mortal, as surely this 'gift' would be in the hands of Eru alone? That the Witch King threatens Eowyn with 'The Halls of Lamentation' may suggest something of what happens to a slain Orc. Melkor was the most powerful of the Valar, and Sauron possibly most powerful of the Maiar; it could be possible that they could make a mockery of the Halls of Mandos. But unlike the Elves, the Orcs may simply be reborn and sent right back into Middle-earth (would solve the problem of how they are 'bred' at any rate
). It's an idea worth looking at' though most of us would veer towards addressing and studying the workings of the side of Light rather than the workings of Darkness.
Perhaps for Men in Middle-earth there is no Hell at all apart from what they make for themselves or what they are enslaved into. Even those Men who do go over to Sauron's side in the War of the Ring are forgiven by Aragorn, perhaps Eru would also forgive them?