Hey mate,
First up great theme there, Dunlend doesn't have much beyond the basic warrior and chieftain but they look a fun army on paper.
Second under the warband rules you'd need a hero for every 12 warriors, so for the army there with 47 warriors you would need 2 more heroes.
You mentioned getting hold of Thyrdan (kinda hard not too for a big dunlend army
) this will give you a 3rd hero, for a 4th you could perhaps use Saruman (would also fill points for bigger games) or perhaps some allied orc captains or uruk-hai (I know its not strictly dunlend but they all serve the white hand, your call there)
In regard to using the chieftains as normal warriors...against regular mates and in casual gaming you'll be fine. At tournaments people can get picky about it (The use of proxies is a big can of worms debate I wont go into here). If tournaments aren't a big thing for you then cool, just pointing out that if you do bring your dunlendings to one to check with the organisers first.
Also, conversions make people happy, if you've really worked hard to make Grimbold look like a hero of dunlend and Eowyn a maiden of their tribes, people will be a lot more accepting and agreeable to play against them.
Hope that was useful, trying to encourage without being preachy
PS. The models are quite scarce but you never know, keep an eye on ebay and be patient, the trade thead could also be of use to you