Sauron would have put it on one of his remaining fingers
According to Wikipedia, 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.