In The Silmarillion, Elves are called The Children Of Illuvatar. The Ainur who come to live in Arda are called The Valar. Men come later and there's another designation for them. So, I think a system of levels is implied. 1., Valar 2., Elves 3., Men. Dwarves are the Children of Aule. But Valar, Elves and Men are connected directly to Illuvatar. In our world, angels are supposedly the only intermediate between God and Man. This is what I like about Tolkien's world; there's another level of beings in there. And I think you're right, in LOTR, Elves are shown in a more supernatural light. But even though they are immortals, they are still beneath Illuvatar and susceptible to self undoing and death(if they are slain).
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