I know a few of them were siblings like Nienna, Mandos and Irmo are Siblings. Manwë and Melkor are also siblings. But did they all know each other prior to ruling Arda?
1 Answer
Some of them definitely did:
In Ainulindalë, Ilúvatar mentions Melkor to Ulmo; if they didn't know of each other before, they certainly did at that point:
Ilúvatar spoke to Ulmo, and said: 'Seest thou not how here in this little realm in the Deeps of Time Melkor hath made war upon thy province? He hath bethought him of bitter cold immoderate, and yet hath not destroyed the beauty of thy fountains, nor of my clear pools. Behold the snow, and the cunning work of frost! Melkor hath devised heats and fire without restraint, and hath not dried up thy desire nor utterly quelled the music of the sea.
The Silmarillion I Ainulindalë
Also in Ainulindalë, Ulmo and Manwë became friends shortly after the Music, and Ulmo's phrasing suggests they knew of each other even before that:
Ulmo answered: 'Truly, Water is become now fairer than my heart imagined, neither had my secret thought conceived the snowflake, nor in all my music was contained the falling of the rain. I will seek Manwë, that he and I may make melodies for ever to my delight!' And Manwë and Ulmo have from the beginning been allied, and in all things have served most faithfully the purpose of Ilúvatar.
The Silmarillion I Ainulindalë
In Valaquenta, we learn that Varda and Morgoth have a history (emphasis mine):
With Manwë dwells Varda, Lady of the Stars, who knows all the regions of Eä. Too great is her beauty to be declared in the words of Men or of Elves; for the light of Ilúvatar lives still in her face. In light is her power and her joy. Out of the deeps of Eä she came to the aid of Manwë; for Melkor she knew from before the making of the Music and rejected him, and he hated her, and feared her more than all others whom Eru made.
The Silmarillion II Valaquenta "Of the Valar"