I don't remember from the books, but in the movie, Gollum only said 2 words : Shire and Baggins. I do not remember the wraiths ever saying specificly Frodo. It may have been posible that they got information like that after they found out that a Baggins had it. It sounds like Frodo is at least one of the more well known baggins in the shire, some frigtened hobit may have said it, or the birds or other beasts might have told them.
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"Wake up! Wake up! Wake up, sleepies, we must go, yes, we must go at once."
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