Question: where do the elves in lotr go?
Answer: All of the ring bearers left Middle-earth; Gandalf, Galadriel, Elrond, Bilbo, Frodo, and even Sam after his children were grown and Rosie passed away. The characters you mention are accompanying the elves - Galadriel, et al. - back to Valinor, the Undying Lands, across the sea to the west.