Big Mystery: The Nine Rings of Power

[Legate of Amon Lanc]

Well, basically, had there not been the quote that narfforc mentioned, I'd say the Rings really were on Sauron's hand all the time... the more on what you brought forth here, TM... this was actually my first idea in this topic...

As we have only Gandalf's word on that, maybe he was simply mistaken? He didn't even see the Ringwraith - only at Weathertop (or from the height of Orthanc, which is not of any value), and while Galadriel's word might not be that important, the Author's word seems to imply that indeed the Rings were not in the possession of the Nazgul, and the Author's word should be considered of the highest authority.
The trouble is that the word "held", at all the times, can be interpretated as "had in power" or something like that, whereas that the Nine Riders "kept" the rings is pretty clear - and also, it is them who are the subjects, not Sauron.

As when TM mentioned UT, I looked there and this part took my interest:

Originally Posted by Unfinished Tales

The Lord of Morgul therefore led his companions over Anduin, unclad and unmounted, and invisible to eyes, and yet a terror to all living things that they passed near.
(...)They reached the west-shores of Anduin a little north of Sarn Gebir, as they had trysted; and there received horses and raiment that were secretly ferried over the River.

Now I don't think, if the Nazgul were wearing their rings still, that they'd take them off at one moment, cross the river (as it is said, on 1st July in Osgiliath) and then (16 days later at Sarn Gebir) took them back. And the idea of nine rings floating in mid-air through Anórien seems quite funny and unlikely.