They're caught in Umbridge's office and she confiscates their wands. Hermione leads them into the forest, Umbridge is carted off, and Hermione and Harry then leave the forest, still complaining about their missing wands. They meet up with friends, fly to London, and start using their wands. When did they get the wands back?
Ron, Ginny, Neville and Luna brought them back to the forest
'Well, we can't do anything without wands,' said Hermione hopelessly, dragging herself up again. 'Anyway, Harry, how exactly were you planning to get all the way to London?' 'Yeah, we were just wondering that,' said a familiar voice from behind her. Harry and Hermione moved together instinctively and peered through the trees. Ron came into sight, closely followed by Ginny, Neville and Luna. All of them looked a little the worse for wear - there were several long scratches running the length of Ginny's cheek; a large purple lump was swelling above Neville's right eye; Ron's lip was bleeding worse than ever - but all were looking rather pleased with themselves. 'So,' said Ron, pushing aside a low-hanging branch and holding out Harry's wand, 'had any ideas?' 'How did you get away?' asked Harry in amazement, taking his wand from Ron. 'Couple of Stunners, a Disarming Charm, Neville brought off a really nice little Impediment Jinx,' said Ron airily, now handing back Hermione's wand, too. 'But Ginny was best, she got Malfoy - Bat Bogey Hex - it was superb, his whole face was covered in the great flapping things. Anyway, we saw you out of the window heading into the Forest and followed.