The tale of Odo is hiding in the latter pages of The Return of the Shadow and the start of The Treason of Isengard, two of the posthumous volumes. Suffice to summarize, imagine that Gandalf rides ahead with Fatty Bolger as a decoy to throw the Nazgul's scent off Frodo. It works only too well: the Nazgul capture Fatty, and ... (at this point the text breaks off).

If you do decide to venture into the posthumous volumes, I hope the essay in this book, "The Literary Value of The History of Middle-earth," will be of help as an introductory guide. That's what I wrote it for.