There's a great pronunciation guide in the back of most copies of the Silmarillion.

I find the names impossible sometimes, too! In the end, I had to get the Silmarillion audio book to keep up with all the names and get the pronunciation right!
I think you've got Feanor right.

(
"Fay" as in
hay?) And Sauron is pronounce "Sow-ron" with the
ow as in
town, according to the pronunciation guide I mentioned.
