Elves in WotR are quite hard to use, because they have low numbers, and while they get a few extra dice because of Fight/Shoot Value. For High Elves you want High Elf Archers for your common choice and High Elf Cohorts for your rare (give Shields to those with Glaives/Elf Blades), and probably some allied Numenorean's (you get them in the last alliance box) as they work well with High Elves (both thematically and adding numbers).
Wood Elf Archers work well as they can shoot and not be shot at, unless you against a fast moving army.
If going for Galadhrim, giving them shields is worth the few points it costs to take them. Some good heroes to use for Elves are Elladan, Elrohir and Haldir, and if going for a Last Alliance Theme, Isildur, as they are cheaper than other Elf Epic Heroes allowing you more numbers.
Elves in SBG are good as they have the best infantry available to good forces and are able to better most Evil Heroes in combat. However, they have lower numbers. My recommendations would be a box of Wood Elves, and then a box of Warriors of the Last Alliance for High Elves, Galadhrim for Lothlorien or another box of Wood Elves for Thranduil's Halls for your core troops, then heroes and metal models as you wish.
Here's some ideas for 500 Points SBG:
Rivendell (this will require some converting, small circular shields made out of plasticard could work, or use Galadhrim for High Elves if your only playing with friends):
Elladan and Elrohir with Heavy Armour (150)
8 Elf Warriors with Heavy Armour and Shields (80)
8 Elf Warriors with Heavy Armour and Elf Bows (88)
8 Elf Warriors with Shields and Spears (72)
8 Elf Warriors with Shields (64)
4 Elf Warriors with Elf Bows and Spears (40)
Haldir, defender of Helms Deep (70)
8 Wood Elf Warriors with Elf Bows, 4 have Spears (76)
8 Wood Elf Warriors with Spears (64)
8 Wood Elf Warriors with Throwing Daggers (72)
8 Galadhrim Warriors with Spears and Shields (80)
5 Galadhrim Warriors with Elf Bows (50)
2 Galadhrim Warriors with Elf Blades (18)
Legolas with Elven Cloak (100)
15 Wood Elf Warriors with Throwing Daggers (135)
15 Wood Elf Warriors with Spears (120)
15 Wood Elf Warriors with Elf Bows, 10 have spears (145)
Hope this helps