Sauron would have put it on one of his remaining fingers.
According to Wikipedia, Gollum was personally tortured by Sauron. He 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.
and according to The Letters of J. R. R. Tolkien:
...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.
