Question: where do the elves go lord of the rings?
Answer: The Undying lands refers to the continent of Aman, where the land of Valinor is. In the very beginning, when Elves were first created, the Elves awoke in Middle-earth, and were then called to the Undying lands in the West (of Middle-earth) by the Valar, which are the servants of the Creator of Arda, Earth.