Gandalf did wear Narya, as did Galadrial, Nenya and Elrond, Vilya. The three Elf rings were 'safe' to wear and use so long as Sauron didn't possess the One Ring to rule them. They knew he didn't have it because Frodo had it.
They had to pull out all the stops and use any and all means at their disposal to stop Sauron from getting the One Ring. That was the main theme of the story; keep the Ring out of Sauron's hand and destroy it. They were playing a desperate game, balanced on a razor's edge of survival, so keeping their rings of power in their pocket was not an option.
If Sauron finally succeeded in getting his ring back it was all over anyway; the world would be lost.
Gandalf used Narya's powers to inspire others to resist tyranny, domination, and despair, as well as giving himself resistance to the weariness of time. It's obvious that Gandalf used his ring's power to motivate Theoden and Eomer before and during the battle of Helm's Deep. He also rallied Gondor's disheartened, fleeing and disorganized forces when Minas Tirith was under siege and The Witch King was at the door. Resistance to weariness? That guy covered a lot of ground that couldn't have been 'humanly' traveled in the time he had. Gandalf was the Energizer Bunny because of Narya's powers.
So too did Galadriel wear Nenya, and Elrond, Vilya. They used their ring's powers to maintain 'good in the world' and to assist Frodo and others in support of the desparate struggle to keep the One from Sauron.
Observers seemed to be magically 'blinded' from seeing the rings on their fingers. While Frodo could see them on their fingers by virtue of being the Ring-bearer, others could not. Even Samwise was 'allowed' to perceive Galadriel's ring while in Lorien, though not clearly. He tells her that he "saw a star through your fingers". This tells me that the rings can be disguised from an observer even though they were worn.
Frodo, not being well versed in ring lore, was unaware of the numerous Elven rings' significance. Lots of people wear rings and jewellery. Frodo even spoke of it (Galadriel's ring) later to Aragorn while traveling down the river Anduin after leaving Lórien. Aragorn quickly admonished him to not speak of it outside of Lórien. That means Aragorn too was aware of Galadriel's ring, and probably Gandalf's as well due to their close and longstanding friendship. To his credit, he could keep his mouth shut.