Gollum implies that he has been face to face with Sauron when he confirms that "the black hand" has only 4 fingers. At the Council of Elrond, Gandalf recounts how he entered Dol Guldur to discover that "the Necromancer" was none other than Sauron slowly "taking shape". So clearly Sauron has a physical form by the time of LOTR, but the reference to the "Chamber of the Eye" in Barad Dur and the vision of a lidless eye rimmed with fire in Galadriel's mirror also implies that Tolkien saw the references to a piercing all-seeing eye as a bit more than mere metaphor!