This article is from the Tolkien FAQ, by William D.B. Loos email@example.com with numerous contributions by others.
Nothing. Sauron carried it back to Middle-earth, though there might be
some question as to how he managed it. Tolkien said he did, and Tolkien
should know: "Though reduced to 'a spirit of hatred borne on a dark wind', I
do not think one need boggle at this spirit carrying off the One Ring, upon
which his power of dominating minds now largely depended." (Letters, p. 280).
In fact, as far as we know all the spiritual beings (Valar and Maiar) were
perfectly capable of manipulating physical objects.