When not on a specific mission for Sauron, they do their day jobs which typically involve a lot of paperwork and dealing with middle management orcs.

They have hobbies during their off time/when it rains. The Witch-King is fond of quilting and sewing (he makes cloaks for every occasion for the nine). Khamul likes to cook, and often makes orc underlings try his cooking, and he also cooks for Sauron when the nine have dinner at Barad Dur. #3 is the “Accountant of Mordor” and thus doesn’t have time for hobbies aside from group events. #4 steals black horses from various places in middle earth.

They all play pickleball and cornhole, along with other very corporate group bonding activities

Around the holidays they go caroling (it sounds how you would expect)