Melkor caught Elves and enprisoned them in Utumno before Elves went to Valinor.
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But of those unhappy ones who were ensnared by Melkor littles is known of a certainty. For who of the living has descended into the pits of Utumno, or has explored the darknesses of the counsels of Melkor? Yet this is held true by the wise of Eressea, that all those of the Quendi who came into the hands of Melkor, ere Utumno was broken, were put ther in prison, and by slow arts of cruelty were corrupted and enslaved; and thus did Melkor breed the hideous race of the Orcs in envy and mockery of the Elves, of whom they were afterwards the bitterest foes.
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`-The Silmarillion, Chapter 3, Of the Coming of Elves and the Captivity of Melkor