Where did the Elves go?

[Voronwe]

From the Silmarillion:

And when they came into the West the Elves of Beleriand dwelt upon Tol Eressëa, the Lonely Isle, that looks both west and east; whence they might come even to Valinor.

The Elves were allowed back to Valinor, though many of them still chose to live on Tol Eressëa.

Turning to Lush's question, it is the Elves' estel (hope) that they will be part of Arda Remade. The 'Athrabeth Finrod ah Andreth' in Morgoth's Ring deals with these things in detail.