Hi, Andrew—Let me consolidate and number for you all the various noun phrases you are asking about here, in order of their appearance above:
(1) this JFK assassination nonsense
(2) hardcore conspiracy theorists
(3) Pentagon advisory documents
(4) a crazy conspiracy theorist
(5) a mildly insane conspiracy theorist
(6) the JFK conspiracy industry
(7) big conspiracy books
A hyphen is neither needed nor desirable in any of those phrases. The only ones that could take a hyphen are (1) and (6). But since "JFK" is not an adjective, there is no danger of its being understood to modify the head noun.
We cannot speak of "assassination nonsense that is JFK" (contrast: "a conspiracy theorist that is crazy") so we know that "JFK" belongs with "assassination"; the phrase means "nonsense about the assassination of JFK."
Now, what if (1) were "this presidential assassination nonsense"? In that case, I would support your using a hyphen, to clarify that it means "nonsense about presidential assassinations," not "assassination nonsense that is presidential."