An Elf who dies (whether they are in Valinor or Middle-Earth) goes to the halls of Mandos. After a certain time (to be determined by Mandos, its different for each case) they are returned to life in Valinor. For example, Luthien decided to live a mortal life with Beren upon her release.
But what would happen to an Elf who had been released and was then killed?
Glorfindel (who fought and killed a Balrog in Gondolin) was the only elf released who had ever returned to middle earth (Luthien does not count as stated above), so would his soul leave the circle of the world like a human soul if he was killed again? And what about any other released elf who died over in Valinor, would they go again to the halls of Mandos or not?
I havent been able to find any Tolkien information on this second death.