Well the title says it all.
I was just faced with this question when modding my werewolf game... I mean really, if they lose their cloaks and horses and travel as bodiless spirits, what on earth happens to their rings? Do they become immaterial for the time being? Or do the Nazgűl after all move around without their rings on? Or is there some other solution? I'm puzzled, please help/educate me.