Etiquette Expert Opinion: An engagement ring is a gift for promise-of-MARRIAGE. Once the marriage is called off the proper thing to do is (pry the ring out of your hands and) return the ring.
It might feel icky for a while but you'll get over it. More importantly, when it comes to future relationships they'll be no DRAMA over why you still have (wear, cherish, keep it in a shiny box) your ex's engagement ring. Think of all the arguments you can avoid.