Where On The Middle Earth did frodo go at the end of the book?

[Orald]

There are a few points that seem to be speculation, Thingol.

Frodo, Sam, and Bilbo might not have gone all the way to Valinor, but may hav just gone to Tol Eressea, I guess Valinor is close enough. And Gimli did not necessarily go to Valinor with Legolas. In the appendix of LotR it states:

We have heard tell that Legolas took Gimli Glóin's son with him because of their great friendship, greater than any that has been between Elf and Dwarf. If this is true, then it is strange indeed: that a Dwarf should be willing to leave Middle-earth for any love, or that the Eldar should receive him, or that the Lords of the West should permit it. But it is said that Gimli went also out of desire to see again the beauty of Galadriel; and it may be that she, being mighty among the Eldar, obtained this grace for him. More cannot be said of this matter.

I don't think this is conclusive evidence that Gimli left ME for Valinor, it sounds more like a 'myth' than anything else