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When the Elves said they were leaving Middle-earth where were they going? For some reason I thought they were going underground. If it was another continent couldn't Sauron just build ships?

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When Elves become weary of their years in Middle-earth (or just too burdened with Sea-longing), they take ship from the Grey Havens to Valinor (also known as the Undying Lands), the home of the Valar on the continent of Aman.

In the First Age, before the Changing of the World, Aman was part of Arda (the world), but after the Changing Aman was no longer in the same part of the (now spherical) world as Middle-earth and only the Elves were allowed to travel there by the Straight Road.

Since getting to Valinor from Middle-earth requires special ships and permission ("special grace") from the Valar, Sauron would not be able to get there.

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