I don't see why it would be more peaceful in the Grey Havens than Middle Earth though, surely Elessar would be keeping things in check? Ah well... I think I just liked the idea of Frodo, Bilbo and Sam living forever

Does it say that for certain that they do not?
I really should read all of Tolkien's work when I have time!
It's unlikely that it would remain peaceful in Middle Earth. I'm not very strong on the Simarilllion, but the one constant in the history is the constant ebb and flow between the forces of good and evil. The destruction of Sauron and the departure of the elves is just one example of this. I'm certain that there would be more struggles in the future.
With Bilbo, Frodo and Sam departed, it's not documented what happened after the Third Age. In fact, I'm not 100% certain that Sam did sail to the West. I haven't got my books handy @ present (on loan to a friend), but I'm sure that the appendices say something along the lines of "it is believed that after Rosie died, Sam followed Bilbo and Frodo".
If the this incorrect, someone please post

Rob