They don't go to another dimension. They sail to the west, but instead of following a circular path around the globe, they follow a straight way to Valinor, the same way that used to exist when the world was flat. In a way, the whole world of Middle-Earth is round, except for Aman (where Valinor lies) which is still were it always was, on a flat plane. Only Elves can find the Straight Road to the west.
As for Galadriel, she was banned from getting back to Valinor because she left Aman with the other Noldor before the start of the First Age. But eventually she sailed to the west and we must assume that she was forgiven.
But really, if these things interest you, you should read the Silmarillion. You don't want us to tell you the whole story, right? [img]smilies/smile.gif[/img]
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"It was only a glimpse then, but you might have caught the glimpse, if you had ever thought it worthwhile to try."
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