Thank you all so much! I am studying the building for more angles and scenes to create. I hope to have more soon.
The only shot I took with a macro lens was the Johnny Blades pic. And for that shot, I used my 50mm prime mounted backwards with a reversing ring, so it's not quite a true macro setup. The rest were shot with my standard 18-55 lens, with the focal length set close to the high end. No flash was used. I have a single key light (or "desk lamp", as it's commonly known), and occasionally some fill lights from around the room. For the alley pic, I used a commom food photography steam trick. Dip a cotton ball in in boiling water. Place the cotton ball behind your subject, and capture the rising steam.
Next time I take shots, I will grab a set shot showing the process. Glad you all like!
p.s. In case anyone asks about the Maltese Parrot, yes, it is one of the more rare black birds (only sold in one castle set in 1990), and yes, the tail has been shortened. But I bought it that way off Bricklink specifically for this purpose. And I did have to Kragle it to the 1x1 plates in order for it to stay properly.