This promises to be a good read. Already you have taken us through a quite horrifying journey, and though this first chapter does read like a short story in its own right, it does seem like you have planned more.
The nazgûl were scary, but the really horrifying parts were Glaerdon's ... decay. I could not find another way of saying it. The process from he is stabbed and to it becomes clear that he cannot be saved, is like a slow decay. Or a falling apart. A chilling way to show the fading into the wraith-world.
The only thing I was a little confused at, was the time-frame. When I had finished reading, I was unsure of when this was supposed to happen. As it turned out, I had not payed close enough attention in the beginning, for you do give us all the clues needed to figure it out there. Still, I had to go hunting through the Fellowship and Appendix B in order to calculate the time roughly. One question remains with me, though, which I think is the reason I was confused at my first read through:
Why, if the nazgûl are that close, do they not find the Shire until about two and a half months later? And why would Elrond not send out Glorfindel earlier if he knew the nazgûl were that close?
The continuation might give me the answers.