Technically, he didn't need a horcrux or anything similar. As a Maia he's immortal - he is unable to die as long as Illuvatar wants him to exist. Only Illuvatar can destroy one of the Ainur. Thus the never ending resurrections - Sauron dies what, five, six times in the whole history (Silmarillion and LOTR both)?
Only three or four times, if we get technical. Plus, Sauron wasn't one of the Ainur, and it wasn't Illuvitar who finally destroyed him completely. On another note, Sauron was able to ressurect himself so many times because of how powerful he'd become, almost as powerful as Morgoth. His will was strong enough for his spirit to endure until only the ring remained, the last link tethering him to the world.
I don't remember the Silmarillion ever mentioning he was anything other than one of the spirits that had existed before the Elves and Men. Did they call him a Maia? I'm pathetic, only half-way through the book and can't even remember what's at the beginning.
I'm currently reading the Silmarillion and when Sauron himself is mentioned VERY rarely, Illuvatar first created the Ainur - Maiar and Valar who the sung in the Ainulindale. Seeing as the Ainur were the only ones to exist before Ea was created (and with Ea, other intelligent races) there is no other way than Sauron being a Maia. And I remeber pretty well that Sauron was called Mairon Artano before and served Aule. He even devised himself the name Aulendin during his time with Celebrimbor as Annatar - it meant something like 'Aule's man' or something similar. Also, I seem to recall that after first fall of Melkor, when he is imprisoned for next three ages, Sauron seeks pardon with Eonwe and Eonwe cannot grant him pardon because they are of equal standing - as in, both are Maiar, so only Valar can pardon Sauron's crimes.
Tho, I might be mistaking a bit of fanon with canon - but I am mostly sure that I remember it all right.
I definitely don't remember any of that in the book. All that was said of the Valar was very brief before they moved on to the imprisonment of Melkor and the coming of the elves, and even during that Sauron/Mairon wasn't even mentioned.