Some questions ..

[lathspell]

3. That is not known. It depended on what man came to the Halls of Mandos.

4. The Silmarillion says that Eonwe, the Herald of Manwe, commanded the Host of the West, so I don't think that the Valar came to Middle-earth, but sent their Maiar instead.

5. Yes, this is a quote from the UT:

... and clothe themselves in flesh so as to treat on equality and win the trust of Elves and Men. But this would imperil them, dimming their wisdom and knowledge, and confusing them with fears, cares, and wearinesses coming from the flesh.

I also remember that somewhere it states that, when in 'body', they could be slain and die of hunger and cold.

Hope this helped,
greetings,
lathspell