If you don't mind them having an alien look about them, then there's a conversion I saw where someone put cadiens on fantasy cold ones. It looks really good when it's done. I think all you need is the cold ones, a box of cadiens, and maybe a couple of other bits to make it look nice.
A guy named Dr Thunder headed a project on LO and got together a group of people to pay a sculptor to create a whole bunch of Moa (Chocobo) rough riders.I've kicked around trying to make chocobo-mounted rough riders, just as a modelling project, because I'm that big of a Final Fantasy junkie.
Seen that done, it just doesn't look right. Mostly because 40k uses Heroic Scale and LotR is far closer to True Scale.Spitfire-- Keep in mind that LotR models are not the same scale as 40k/Fantasy. Then again, jockeys aren't usually the same scale as (American) football players, so you could probably get away with saying that the horsemen are just smaller people.