Ahhhh!! I just spent an hour answering this, and my PC crashed just before I was about to post....
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So this was what happened to Glorfindel.
Although Tolkien did not specifically say so, it is thought that the Glorfindel who chased away the Nazgul in LotR is the same Glorfindel who was slain by a Balrog during the retreat from Gondolin. If this is the case Glorfindel's spirit will have gone to the Halls of Mandos where it will have spent a time of Waiting, contemplating its past life and mistakes. In the case of Glorfindel and Finrod Felegund, this period appears to have been reletively short, compared to say Feanor, who will not be released until the End. The Halls are not a prison for spirits, but a place they go for contemplation and healing. If mistakes in life are few, the healing might be quick.... Early release for good behaviour.
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When elves are reborn, do they retain all their original memories immediately or grow into them with age?
Elven rebirth created a few problems for Tolkien. In HOME book 10, Morgoth's Ring, he mentions it in detail, but he ran into a few stumbling blocks as he tried to develop the idea. I think this is why rebirth gets only the slightest of mentions in the Silmarillion. In HOME, JRR mentioned two possibilities for rebirth.
1) The "houseless" fea enters its previous body. The difficulty here is that the body must be whole, and able to sustain life. Elves can die of injury and grief, but in the case of the former, the body is unlikely to be able to sustain life after rebirth. Also, during the period of Waiting, decomposition is likely to have occured. If the body was in Middle Earth, this would have been rapid. Decomposition was not a problem in Valinor, so an elf that died of grief could potentially be reborn in their own body. A problem again arises, however. Few Elves that have died of grief will wish to return from Mandos after their time of Waiting. An example of this is the case of Finwe's first wife, Miriel. After the birth of Feanor her fea left her body and went to Mandos. Although her body was preserved in Lorien, she refused the summons of rebirth, choosing instead to remain in Mandos for all time. Interestingly, this example also posed a dilemna to the Valar about when an Elven marriage could be deemed to have ended.
2) The second way JRR offered as an explaination for rebirth was for a houseless fea to enter the body of a new born child. This seems logical, but as JRR tried to dot the i's and cross the t's, he ran into more problems. Eru had given his Children the power to, "beget children in all ways like to themselves, body and indwelling spirit; and that therefore the fea of a child came from its parents as did its hrondo (body)". Basically, Eru had given the right for Elves to procreate, and the expectation for their children to be a blend of themselves, both physically and spiritually. The problem rebirth presented was that if houseless fea were allowed to enter the bodies of newborn children, this would deprive the new parents of their basic right to share their own fea with their child. In essence, their child would be an "alien" spirit.
Having encountered this problem, JRR attempted to find a way around it. If rebirth did happen in this way, he suggested the reborn fea would recieve nourishment from the parents during the time of bearing, thus still sharing their qualities. In this case, the reborn fea would lie partly submerged during childhood, only coming to the fore as its previous memories awoke.
Tolkien wrote
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As for this rebirth, it is not an opinion but known and certain. For the fea reborn became a child indeed, enjoying once more all the wonder and newness of childhood; but slowly, and only after it had acquired a knowledge of the world and mastery of itself, its memory would awake; until, when the reborn elf was full-grown, it recalled all its former life, and then the old life, and the "waiting", and the new life became one ordered history and identity. This memory would thus hold a double joy of childhood, and also an experience and knowledge greater than the years of its body. In this way the violence or grief that the reborn had suffered was redressed and its being was enriched. For the reborn were twice nourished, and twice parented, and have tow memories of the joy of awaking and discovering the world of living and the slendour of Arda. Their life is, therefore, as if a year had two springs and though an untimely frost followed after the first, the second spring and all the summer after were fairer and more blessed.
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And can an elf reincarnate multiple times? If they can, their knowledge would far surpass any existing elves, having experiences lasting for not just one, but many lifetimes. My feeling is that these elves would take places of authority.
Tolkien wrote
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The Eldar say that more than one rebirth is seldom recorded. But the reasons for this they do not fully know. Maybe it is so ordered by the will of Eru; while the Reborn (they say) are stronger, having greater mastery of their bodies and being more patient of griefs. But many, doubtless, that have twice died do not wish to return.
Although reborn elves benefit from this double nourishment, I would disagree with your suggestion that, "their knowledge would far surpass any existing elves, having experiences lasting for not just one, but many lifetimes". I agree their experiences would surpass that of other elves of the same (body) age, but not necessarily of other older elves. In human terms you are possibly correct because humans are short lived and multiple rebirths would enable greater learning over time. Remember elves are effectively immortal, however. Even a reborn Glorfindel, with two lots of memories, is unlikely to have the knowledge of an older elf who has not died. He wll have an experience of Mandos the older elf does not have, but the older elf will still have a long, long life's worth of memories and knowledge, uninterrupted by an untimely death.
Phewww! Almost lost it all a second time, but I'd made the point of saving it into Word before trying to post. Hope that answers your question.