Concerning the wizards, The Silmarilion states:
it was said among the Elves that they were messengers sent by the Lords of the West to contest the power of Sauron
We know from The Return of the King that Gandalf went with the ring-bearers into the West:
‘Yes, I am coming,’ said Frodo. ‘The Ring-bearers should go together.’
‘Where are you going, Master?’ cried Sam, though at last he understood what was happening.
‘To the Havens, Sam,’ said Frodo.
But Radagast and the other two were still in Middle-earth, as far as I know, from The Hobbit, The Lord of the Rings, and The Silmarilion. Is there something else mentioned elsewhere in the legendarium about what happened with the remaining Istari now that their purpose in Middle-earth was fulfilled?
EDIT: A proposed answer for two of them, but it still leaves out the question of Radagast's fate.
Additional edit: Radagast's fate also has an answer.