There are a number of places where Tolkien tells clearly that the Nazgūl no longer possessed their rings, Sauron having taken them back. Sauron controled the Nazgūl by the rings which he held.
Gandalf explains this to Frodo in the chapter The Shadow of the Past″:
So it is now: the Nine he [Sauron] has gathered to himself;
For a recent discussion of this see
http://forum.barrowdowns.com/showthr...175#post676175 and the following posts.