Dan Selcke has a fun, short little piece on Winter Is Coming about elf nookie. While the Ring trilogy is about as chaste as it can get, Tolkien did write about elf sex in some of his notes.
…His description of elf sex was found among his voluminous notes, some of which were published in the book The Nature of Middle-earth, which came out last year.
…the act of procreation, being of a will and desire shared and indeed controlled by the fëa [soul], was achieved at the speed of other conscious and willful acts of delight or of making. It was one of the acts of chief delight, in process and in memory, in an Elvish life, but its intensity alone provided its importance, not its time or length: it could not have been endured for a great length of time, without disastrous "expense"…it is longer and of more intense delight in Elves than in Men: too intense to be long endured.