I'm thinking that maybe if Sauron had the nine rings then he would have an easier time controlling the Wraiths because they would always want to have their rings. What I mean is, the Wraiths would always want to come back to their rings in hopes that Sauron, being the nice, generous guy that he is, would give them back. Maybe the wraiths actually trusted Sauron. Maybe Sauron lied to them, a second time, and they were decieved into giving them up, he told them he would give them their rings back.
As to how the Nazgul would find each other, they had pagers.
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