This is all described in the essay entitled The Hunt for the Ring published in Unfinished Tales. All supplied quotes are from that source.
At first the intention was indeed to be stealthy, because Sauron did not want the Wise (i.e the Elves and Istari) to know what he was up to:
Yet this weakness they had for Sauron's present purpose: so great was the terror that went with them (even invisible and unclad) that their coming forth might soon be perceived and their mission be guessed by the Wise.
From there they went invisible through Rohan, passed the Sarn Gebir and the Nazgul of Minas Morgul met up with the Nazgul of Dol Guldur.
This was (it is thought) about the seventeenth of July. Then they passed northward seeking for the Shire, the land of the Halflings.
The last point is important here: at this stage the Nazgul did not yet know where the Shire was.
From here they passed north up the Anduin and began searching, finding the old Stoor villages (presumably those formerly inhabited by Gollum's people) and their best guess at the time was that the Shire was somewhere near or even within Lórien:
They were told also by Khamûl that no dwelling of Halflings could be discovered in the Vales of Anduin, and that the villages of the Stoors by the Gladden had long been deserted.
But the Lord of Morgul, seeing no better counsel, determined still to seek northward, hoping maybe to come upon Gollum as well as to discover the Shire. That this would prove to be not far from the hated land of Lórien seemed to him not unlikely, if it was not indeed within the fences of Galadriel. But the power of the White Ring he would not defy, nor enter yet into Lórien.
From here they continue searching north and finding nothing, until they meet messengers from Mordor; here we learn that Sauron had found out about the dream-prophecy in Gondor, Boromir's leaving, Saruman's deeds and capture of Gandalf. Now Sauron panics and orders the Nazgul to Isengard:
From these things he concluded indeed that neither Saruman nor any other of the Wise had possession yet of the Ring, but that Saruman at least knew where it might be hidden. Speed alone would now serve, and secrecy must be abandoned.
Yet again, they still don't know where the Shire is, but on the advice of Saruman (who did know but didn't tell them) they search Rohan for Gandalf, come across Wormtongue, and from him they finally learn the general direction it lies in:
Spare me! I speak as swiftly as I may. West through the Gap of Rohan yonder, and then north and a little west, until the next great river bars the way; the Greyflood it is called. Thence from the crossing at Tharbad the old road will lead you to the borders. 'The Shire,' they call it.
Finally some time past Tharbad they come across some fugitives and learn from one of them (who also turned out to be a servant of Saruman's) where it is:
One of them had been used much in the traffic between Isengard and the Shire, and though he had not himself been beyond the Southfarthing he had charts prepared by Saruman which clearly depicted and described the Shire.
This is the first point at which they actually know where the Shire is; they did not know before then and had to search the various lands they travelled through for it, and - of course - travelling back to Mordor to pick up some Fell-beasts at this late stage would just incur further delays.
So to summarise:
- At first they wanted to be stealthy.
- When Sauron learns what's going on he panics and they abandon stealth.
- And all this time they do not actually know where the Shire is until they are almost right at it's borders.
And:
- Flying directly to the Shire is impossible because they don't know where it is.
- They needed to conduct a careful search on the ground, as well as waylay travellers and obtain information from them, both of which would have been difficult if not impossible if flying.
- The initial need for stealth was not abandoned until the Nazgul were far out of Mordor.
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