1: objects that are inanimate ( I have many books in my room )

mere pas kamre main buht si kitaben hain....

2 - abstract concepts ( I have a lot of worry! )

mujhe buht hi pareshani hai

3How do you say ' want ' vs ' need ' vs 'should' do something?

I want to do something = मै सोना चाहता हूँ

somehow you can  use just one word for all threee...but it depends on sentence ....and condition so you need some practice

i want to do something=main kuch krna chahta hun

"want" lets assume a sentnce ..he wants water

"ise paani chahye"

and 3 should

you should go there

"tmhen wahan jana chahye"

In Hindi and Urdu, are there always 2 ways to say ' I am ( adjective ) ' for example, I feel happy, I feel sad, I feel thirsty?

i feel happy=main khushi mehsoos krta hun
i fell sad=main dukhi mehsus krta hun

i feel thirsty=mujhe pyas lag rahi hai...although if you translate accurately it will be ''men mehsoos ho rha hai but its not correct...in formal speaking so you must say 'mujhe pyas lag rahi hai''