Elrond says at the Council that there are no dragons remaining whose fires are hot enough to affect the Rings of Power, and that not even Ancalagon the Black could have harmed the One Ring.

Long distance travel with the Ring would have been risky. As for dwarves throwing it into lava, it wasn't any volcano that would have harmed the Ring, but rather the Fires where it was forged. Probably just encasing it in lava would have been equivalent to simply hiding it underground, and Gandalf says that unknown things dwell deep underground - this is the same reason that simply throwing it into the Sea wasn't an option.

Elrond says at the Council that there are no dragons remaining whose fires are hot enough to affect the Rings of Power, and that not even Ancalagon the Black could have harmed the One Ring.

Long distance travel with the Ring would have been risky. As for dwarves throwing it into lava, it wasn't any volcano that would have harmed the Ring, but rather the Fires where it was forged. Probably just encasing it in lava would have been equivalent to simply hiding it underground, and Gandalf says that unknown things dwell deep underground:

Something has crept, or has been driven out of dark waters under the mountains. There are older and fouler things than Orcs in the deep places of the world.

(Lord of the Rings, Book II, Chapter 4, "A Journey in the Dark")

Far, far below the deepest delving of the Dwarves, the world is gnawed by nameless things. Even Sauron knows them not. They are older than he. Now I have walked there, but I will bring no report to darken the light of day.

(Lord of the Rings, Book III, Chapter 5, "The White Rider")

This is the same reason that simply throwing it into the Sea wasn't an option.