I remember
this thread discussed this possibility some. My own opinion is that the nine rings (and probably the seven and the three as well) were bonded to their owners in much the same way that the One Ring was part of Sauron. Their power could not be easily transferred to another, and would diminish the link with the original possessor if attempted. Certainly, after the death of a Nazgul, like the Witch King, Sauron might have decided to replace him with another corrupt mortal, but that would take time, perhaps a hundred years or more, before he could take the ring back and keep it with himself and expect the kind of blind obedience that he got from the rest of the Nazgul. That's just my opinion though. I can't back it up with anything textual.