In the HoME (6,7 or 8) it says that "The Nazgul are abroad, and they yet again cary the rings that corrupted them" or something similar. Its old i know, but it implies sauron holds them except in times of need.
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Utúlie'n aurë! Aiya Eldalië ar Atanatári, utúlie'n aurë! The day has come! Behold people of the Eldar and Fathers of Men, the day has come!
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