[The Squatter of Amon Rûdh]

As far as we know from LR, the Nazgûl only had one Morgul knife with them. Perhaps they were rare weapons, only to be used in unusual circumstances.

Gollum was already enslaved to the Ring, and Sauron could be fairly confident that following him would lead to its discovery sooner or later. It was easier to follow him in the hope that he would find the Ring than to waste powerful weapons or torture in the extraction of whatever garbled information he had about its whereabouts. Only Gandalf seems to have had the patience to tease some sort of coherent narrative out of his rambling babble.

As for disposing of the wraith once created, it seems that once the lesser wraiths have served their purpose, they become playthings for Sauron and his minions rather than useful servants.