Why do the Nazgul need clothes?

[lathspell]

Yes, the main reason to give the Nazgûl clothes was to give shape to there nothingness. How else could they have dealings with the mortals?

If Frodo saw them in the distance, he would go in the other direction.

Frodo didn't see them coming, in any rate not until he knew what they were. In the Shire he heard the sound of hooves. Inmediately afterwards he got the feeling that they should hide. He became terrified. He explained that this had two reasons:
1. He'd rather not be seen on the road.
2. He had an unwholesome feeling about that horse sound.
When he saw the Ringwraith, he noticed that he didn't see, and that the Ringwraith rather used his nose (the sniffling) than their eyes. After this event they all have the feeling that they should avoid these 'men'. And they don't do that by looking out very carefully for horses, but by listening very carefully.

So I guess, that even if they didn't have any clothes they wouldn't have found Frodo any sooner, maybe they wouldn't even have found him yet for I think that the robed helped them when they were asking things to any mortal. With the robes around their nothingness they could be seen, and that would be the reason why someone answered.
If (in example) you were farmer Maggot and you would a horse coming towards you with nothing on it. The horse stops just in front of you and suddenly you hear voice, but you don't see a thing. Wouldn't you consider yourself to be physologically ill? Or anything like it. In fact, I think I wouldn't answer to a thing that I can't see and that I would consider to go visit a doctor to see if I'm alright.
So in my opinion the used their robes to communicate with the mortals.

maybe the answer is that the Nazgul were incapable of, for example, picking him to carry off to Mordor unless they were doing it with something material like a glove or long sleeve.

I think that this can't be a reason, because if they, without robes, were incapable of picking anything up, wouldn't they also be unable to were robes? Wouldn't that fall through their nothingness as well?

I think the only reason of the Nazgul wearing robes is the one mentioned in LotR: to give shape to their nothingness for their dealings with the living.

greetings,
lathspell