**Sauron would have put it on one of his remaining fingers**

According to [Wikipedia][1], Gollum was personally tortured by Sauron and tells Frodo and Sam about it:

> Gollum tells Frodo that **Sauron has, at least, a "Black Hand" with four fingers.** The missing finger was cut off when Isildur took the Ring, and the finger was still missing when Sauron reappeared centuries later.


According to [The Letters of J. R. R. Tolkien][2]:

>...in a tale which allows the incarnation of great spirits in a physical and destructible form their power must be far greater when actually physically present. ... Sauron should be thought of as very terrible. **The form that he took was that of a man of more than human stature, but not gigantic**

So he did have a physical form, and could wear the ring if he ever recovered it.


  [1]: http://en.wikipedia.org/wiki/Sauron
  [2]: http://en.wikipedia.org/wiki/The_Letters_of_J._R._R._Tolkien
  [3]: http://scifi.stackexchange.com/a/27658/20393