Yes, at the end of Return of the King (book) there's a whole section on what happened to the rest of the Fellowship. I believe in the last event on the timeline of the group (or close to the last one) it says Gimli and Legolas left Middle-Earth together. The first dwarf and elf to leave for the Grey Havens together, I think =)

After the death of Aragorn, Legolas built a ship in Ithilien and left Middle Earth with Gimly the Dwarf, his best friend. They sailed down Anduin and so over Sea. All other elves had already left Middle Earth and Legolas really loved the Sea.
"I will leave, I will leave the woods that bore me;
For our days are ending and our years failing."

yeah....and this part was not shown in the movie. in the book, we are told that Legolas and Gimli traveled together and then they left the middle earth in the end :'(

Yes he left, at the end of the 3rd book it tells you, he sings a song of going into the west and never to return.

Legolas went with Gimli to sail the sea after Aragorn died. That's all it says so he did leave. I hope they made it to the Grey Heavens.

he eventually left middle earth for valinor with gimli after aragorn died

Yes, Legolas does leave Middle-earth at the end of the third Lord of the Rings book, The Return of the King.