Due to the shadow card that can remove all a FP's Will of the West dice, it's always wise to use your Will of the West as your first action.
However if you roll 2 Will of the West dice, and don't need a specific Will of the West to upgrade a companion, it might be good to think ahead and then change one of the Will of the West dice to what you will need to use it for later, before using the other one as your first action.
Having rolled 3 Will of the West in one turn my last game, only to get to use just the first one, was pretty frustrating! doh!
One issue though... save atleast one elven ring for Mordor... as I had the unfortunate dice of being one step from the crack of doom, with 6 FP dice, so first move of the next turn I win. IF is rolled a WW or C die... 4 events and 2 musters and no rings... needless to say, with all the dice the SP had, he managed to get to 10 victory points... doh!
Once all three SP nations are at war, the SP has a card which can be used to discard all FP will of the wests. So if you had a roll with multiple WW's, and all three SP's are at war, you could lose all your WW's if the SP has that card to play. If you were a couple spaces away from dunking the ring and had rolled 3 WW's and 2 musters for instance, changing one WW to a character die before the SP gets a turn could save you from losing the game if the SP kills all remaining WW's on his first turn.