All right, let's start from the beginning.
Sauron was never in the Void. The person you are thinking of is Morgoth, the first Dark Lord, and Sauron's Master, back in the First Age. He was thrown in the Void by the Valar, and won't come back out for a good long time. His second coming is detailed in the Second Prophecy of Mandos, another one of those inane, really obscure facts.
Sauron could sense the location of the Ring. That was how all those Orcs and other Minions kept attacking Frodo and the Fellowship. Since the Ring was evil, they could sense it, and so could Sauron. That was why Frodo kept seeing the Eye when he put the Ring on.
As for the whole finger debate, I think there's a thread devoted to that subject somewhere. Just use the search function at the top of the page, and it will help you find the topics.
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But Melkor also was there, and he came to the house of Fëanor, and there he slew Finwë King of the Noldor before his doors, and spilled the first blood in the Blessed Realm; for Finwë alone had not fled from the horror of the Dark.
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