Gandalf’s Possible Inaccuracy in the chapter “The Shadow of the Past”

[Zigûr]

Originally Posted by Gothmog, LoB

If they had lost the war or been captured Sauron could have gained possession of the Rings

My thoughts exactly. We can't imagine they brought them with them to use them, because at the time Sauron still had the One, so they couldn't use them. If any of them had, as you say, been captured, or if they had been killed and their body not recovered, Sauron would have gained one of the very things they had fought a bloody war earlier in the Age to keep from him.

In any event, I don't believe we ever hear of Gil-galad or Elendil having time to say or do anything as they died; I always got the impression both were killed very quickly, and we know that Gil-galad was burnt alive (I always imagine something like the way Harry "accidentally" kills Quirrel in Philosopher's Stone) by the hand of Sauron, so if he made any noise, he was probably screaming

Thus I personally see Vilya being left at Imladris, and Narya at Mithlond; given that they discussed similar ideas at the Council of Elrond we might imagine there being something like a backup plan, so that those who stayed behind would take the Rings over the Sea in the event that the Alliance lost the war.

As an aside, it strikes me as potentially (but not necessarily) inconsistent that Sauron's spirit was capable of carrying off the One during the drowning of Númenor, but could not do so from Mordor at the end of the Second Age. Why wasn't Isildur grabbing at it out of the air as it slipped off Sauron's severed finger and floated away into the East? Presumably Sauron could no longer achieve feats like this, having expended so much power in creating another body for himself after the last one was drowned.