The Sting is located in the troll treasure cave at the end of the third level.
The Throwing Rocks are located in a grove of apple trees on a hill in the first level.
The Walking Stick is located in a chest in Bag End in the first level.
Overhill and Underhill scroll:
The Overhill and Underhill scroll is directly in front of the firewood hanging on the cliff.
Troll Hole scroll:
The Troll Hole scroll is located down the path after the FMV sequence