The non-existing finger

[Melko Belcha]

Many of these quotes have been posted, but this is all the quotes I have found that shows Sauron had a physical form at the time of LotR.

TTT - The Black Gate is Closed
'Yes, He has only four on the Black Hand, but they are enough,' said Gollum

LotR - Apendix B
2060 - The power of Dol Guldur grows. The Wise fear that it may be Sauron taking shape again.

The Sil - Of the Rings of Power and the Third Age
But Sauron also was thrown down, and with the hilt-shard of Narsil Isildur cut the Ruling Ring from the hand of Sauron and took it for his own. Then Sauron was for that time vanquished, and he forsook his body, and his spirit fled far away and hid in waste places; and he took no visible shape again for many long years.

The Sil - Of the Rings of Power and the Third Age
True, alas, is our guess. This is not one of the Úlairi, as many have long supposed. It is Sauron himself who has taken shape again and now grows apace; and he is gathering again all the Rings to his hand; and he seeks ever for news of the One, and of the Heirs of Isildur, if they live still on earth.'

The Letters of JRR Tolkien - #200
After the battle with Gilgalad and Elendil, Sauron took a long time to rebuild, longer than he had done after the fall of Númenor (I suppose because each building-up used up some of the inherent energy of the spirit, which might be called the 'will' or the effective link between the indestructible mind and the realization of its imagination). The impossibility of rebuilding after the destruction of the Ring, is sufficiently clear 'mythologically' in the present book.

Letters - #246
In the contest with the Palantir Aragorn was the rightful owner. Also the contest took place at a distance, and 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. In his earlier incarnation he was able to veil his power (as gandalf did) and could appear as a commanding figure of great strength of body and supremely royal demeanor and countenance.