I agree with Kuru and Tuor- Sauron still had primary control of their wills through the Nine Rings, as Tuor evidenced in that excerpt from one of Tolkien's letters.
As well as Frodo not being strong enough to master the Nazgul and the fact that they would most likely feign obedience, I think Kuruharan is correct in saying that if the Ring had not been destroyed, Sauron would acheive complete victory. Unless, of course, if Gandalf or Saruman claimed it (and maybe Elrond and Galadriel too).
Gandalf himself said - I believe in the chapter 'The Last Debate', though it might be somewhere else in RotK - that even if one of them claimed the Ring it would take more than a day to completely control. By that time the odds are high that Sauron would have already taken the Ring back.
Also; Gollum claimed the Ring as his own. However, he could not master the Nazgul, nor could Bilbo. True, they didn't try, but I still think the point holds firm that if this scenario occurred, Sauron would get the Ring back sooner or later, whether Frodo tried to command the Nazgul or not.
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Et Eärello Endorenna utúlien. Sinome maruvan ar Hildinyar tenn' Ambar-metta.
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