Yes, I was going to mention Smith. That was probably what triggered the thought (I'd been listening to a bit of the audio dramatization earlier). It's one of those stories that give us a good insight into how Tolkien felt about writing Fantasy. On Fairy Stories I agree is full of hints about the worlds of Faerie having that magical 'pull' to them. (I'll gather quotes in the morning
).
I was almost going to say something about Leaf by Niggle, actually. As it is the closest to a 'personal allegory' as Tolkien gets, one could see a lot in the fact that, at the end, his life is given to finding deeper and deeper parts of the thing he created.