Tolkien added a -y to “creep” in parallel construction to “tricksy”.  The “-y” suffix indicates “characterized or full of” and in Old English was spelled “ig”.  “Creepsy” is Tolkien’s own original word constructed from his deep understanding of the roots of our language.  I’m giving it the onomatopoeia tag for adding an ‘s’ to Gollum’s words where there was none.

• 05.117 and he’ll come creepsy

“-y, suffix1.” OED Online. Oxford University Press, June 2015. Web. 14 July 2015.