Welcome, Thranduil.
When elves are slain or die of grief, their spirits go to Halls of Waiting where Mandos, the doomsman of the Valar, resides; there they are reincarnated and sent back to Middle-earth, or on to Valinor.
The elves awoke in the east of Middle-earth and were encouraged to make the journey back to Valinor where they could live with the Ainur and be protected from the evil of Morgoth. Many of the elves sailed across the sea far before the trilogy takes place. The elves don't have to die to go to the Blessed Realm. All they have to do is hop in a ship and start paddling.
Morgoth - the letters are still available in paperback as far as I know.
[ August 14, 2002: Message edited by: Legalos ]
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...take counsel with thyself, and remember who and what thou art.
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