How to typeset your own UNIQUE language (e.g., Lord of the Rings Elvish in LaTeX)?

http://tolklang.quettar.org/fonts/

http://www.ctan.org/tex-archive/macros/latex/contrib/tengwarscript

all you need to write Elvish and other Middle Earth languages...

and if you mean to create you own font set then you are going to need Font Design programs. some are even for free like TeX is:

• MetaFont (the original sister of TeX designed by Knuth)
• MetaPost
• METATYPE1

but be aware: if you think TeX is difficult you will be surprised how difficult it is to design own font.