Why do the Nazgul need clothes?

I think that this can't be a reason, because if they, without robes, were incapable of picking anything up, wouldn't they also be unable to were robes? Wouldn't that fall through their nothingness as well?

In reply to this, I say that perhaps their robes and equiptment were magical. Also, I must ask a new question. What is the nature of the Nazguls' non-existance here? Are they mostly in another plane, but are projecting part of themselves onto Middle-Earth? Are they phased out?