Question: where are the elves going?
Answer: The Elves are heading to Undying Lands, Aman (Valinor), where the valar, the archangels of Arda, live. When the Elves awoke at Cuivienen some 12,000 years before the events of Lord of the Rings, the valar invited the Elves to live with them in the Undying Lands.