[HerenIstarion]

Two points:

1. Sauron believed himself to be actual reincarnation of Morgoth by the end.
2. As both him and Saruman were the maiar of Arda - i.e. under same restrictions as Valar (so bound to the world until its end), they were not thurst into the void (for it is special act, as is the case with Morgoth) after their death, but simply dissolved, and degenerated down to the ghost level