Elves don't sleep as we do because they slip into a "world of dreams." In The Two Towers, Legolas is described as being able to continue on much farther than Aragorn and Gimli because he doesn't need sleep like they do. He can let his thoughts "walk the path of Elvish dreams" even while walking or running, so it is almost as if he is in a trance. I think the same applies to the other Elves.
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But Melkor also was there, and he came to the house of Fëanor, and there he slew Finwë King of the Noldor before his doors, and spilled the first blood in the Blessed Realm; for Finwë alone had not fled from the horror of the Dark.
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