[Keeper of Dol Guldur]

Sauron held the rings. He probably even wore one on each finger (except his favorite finger). The ringwraithes would have lost the rings during the rising of the Bruinen when they fled bodiless back to Mordor. Plus, in the great description of the Witch King's greatness in Battle of Pelennor Fields, it made no mention. I think if they had it would have been mentioned there. In the movies, the wraithes wore them in the spiritual world, where they were merely representative of what they once were. Ghosts. Ghost rings, shadows of the ones adorning Sauron's fiery hands.

Haven't I posted this before? Deja vu all over again.