They're going to the harbor beyond the White Towers. To the Grey Havens.
7 seconds sound clip from the The Lord of the Rings: The Fellowship of the Ring movie soundboard.
You can hear this line at 00:45:36 in the Blu-ray version of the movie.
Quote context
[...]
- Remember what Bilbo used to say...
- Sam.
- They're going to the harbor beyond the White Towers. To the Grey Havens.
- They're leaving Middle-earth.
- I don't know why it makes me sad.
- Everywhere I lie there's a dirty great root sticking into my back.
- It's not working. I'm never going to be able to sleep out here.
[...]