Eh?
Well, he probably would've felt lonely without his hobbit friends, but he had other friends there to be with him. I think that where he went kept his pain of the evil which he experienced down to a minimum. Supposidly, the Undying Lands and the regions surrounding are the most beautiful places in Middle Earth - so I guess there is comfort in that.
As for Sam... when he went I imagine he was over-joyed to see Frodo (ahhh, if only to read that reunion on paper). By that time Rosie and passed and I imagine that Sam was ready to go since he, too, beared the burden of the ring for a short while.
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