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I remember reading somewhere (probably in that hightly inaccurate A-Z of tolkein that the Nazgul's grey clothes were the "robes of the dead" and were analagous to shouds. Obviosly they couldn't be real shrouds since the Nazugul never tecnically died till the Third Age but since we don't really know how the fading works (do they live breath and eat all of thier lives or are they more like zombies, dead bodies still animated by thier spirits) I personally think the fact that the Nazgul kings body more or less evaported when he was slain seems to idicate the latter, that ultimately the faded bodies simply disinegrate and what you have left is dust held in the form of a man by the Nazgul's fea (what frodo saw with the ring in this case would have been the nazgul's fea visualized, which would of course look like the Nazgul did in life (in the same way that a ghost can resemble the person it is a ghost of) we dont really know how solid a Nazgul's body is, Merry is the only one who actually stabbed into won and he was too distacted to note whether it felt like he hit something solid inside, or just empty armor.)
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