The fëar of those of my kind who fall in battle or some other tragedy, are called by the Valar Mandos to join him in his halls, in Aman... that is, the Undying Lands, or the Blessed Realm. Some there are re-embodied.

Those of us who yet live can chose to leave Middle-earth and depart on ships to sail there, as many of my kind do. I will also leave, one day when I am too weary of my troubles, but once you have set foot in the land of the Valar you cannot return.