alves at the end of ROTK

OK...this is probably bread and butter to you hardened tolkienites, but if you could just point me to the relevant info i'll be on my way...

At the end of the books when the elves sail into the west (with frodo and bilbo, and later joined by Legolas and Gimli according to the appendices)...

where actually are they going? did tolkien give a description of this new elf kingdom over the sea?