What I remember of the story:
- female was an omniscient being (with no physical body);
- male was a space cowboy (rounding up space junk for scrap);
- they have philosophical discussions over a period of time;
- he describes horses to her;
- she asks him to describe human physical love, which doesn't make sense to her;
- in order to experience love, she must take a human body; this means giving up her omniscience, she will no longer live forever;
Obviously it is worth it, because in the final scene he is herding their children along and the names are "Palomino" "Appaloosa" (I don't remember the rest, but all the girls are name for horse breeds), but the littlest is a boy named "Elephant" - and I think that's the name of the story too.
From a collection of sci-fi anthologies on my teacher's bookshelf--there were 17 books in all, no bookcovers, just brown paper covers with a year handwritten.