They go into the West by the ships of Cirdan, What is called Elvenhome or Valinor is in the West, the Lands of the Valar. The Elves are immortal. and when they die their spirits go to Mandos and they are reformed. You will learn more by reading The Silmarillion about the West and why Elves go there.
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*~*Call me a relic, call me what you will.
Say I'm old fashioned , say I'm over the hill.
That old whine ain't got no soul.
I'll stick to Old Toby and a Hobbit hole.*~*
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