If a person who is living accepts the gospel, we baptise them the normal way.
And if a person who is dead accepts the gospel, we baptise them by proxy.
But I never could figure out how we would baptise a Nazgûl (who is "neither living nor dead"), if he were to accept the gospel.
Because the thing is, I taught a couple Nazgûl families on my mission, but none of them progressed very far in the discussions. So I never did find out.