When the Nazgûl lose their bodily form, what happens to their rings?

[Thinlómien]

Originally Posted by Aganzir

Umm I was under the impression the rings were with Sauron, who could command them from afar even when they weren't wearing them... Don't know where I've read that though.

Well I was semi-under that impression too, but in a way it doesn't quite make sense. Because, how come they can be under the power of their rings if they're not wearing them and one could kind of expect the rings to be the things to sort of "keep them together"... weird.