Here's a flowchart for whether to use Quenya/Sindarin name. Check the links below the chart, they'll lead you to a few generators I use almost always when making a new character.
Here's a PDF if you want to read from Tolkien himself. Here is a somewhat condensed version from the previous.
I only have limited (and very poor) knowledge on naming conserning the other races but the in-game character creation offers some insight. Dale-men seem to have a bit Scandinavian names and the Rohirrim, in turn, somewhat Anglo-Saxon names. The Dúnedain (the men of Gondor and the Rangers of the North) have Sindarin names. Bree-landers are more akin to the Dunlendings than the Rangers but use, at least in-game, kind of English names and have surnames related to plants etc.
I recall that Dwarves used the language the local Men spoke. I do not know if Dwarves used names in a same way but at least they did not publically use their Khudzul names. The names of Thorin's company Tolkien took from Edda and since they were from near Dale/Lake-town one could assume that the Men there had similar names. The dwarves of Ered Luin were at least partly refugees from the Mountain and likely followed their ancestors' naming conventions.
I really don't know about Hobbits. Again, I'd use the in-game instructions. But I hope that this was even a little help. =)