It mostly depends on how you want to balance questions of utility, simulation of the text, power creep and favoritism.
On a certain level, any Noldor, or other elves that went Valinor, are more Outsiders than by ordinary "mortal" elves. They would get the Native subtype, but they are still that much "above" the ordinary. Perhaps just treat them as Eladrin, though without the alternate form ability.
Feanor would start at the level of a Tulani, though given what he actually does (i.e. nearly kill Morgoth, create the Silmarils - hardly tasks for your average 5th level Factotum) you could easily promote him to Solar before customizing. He simply acts on that high a power level in The Silmarillion.
On a more "mundane" level, I'd say treat them as a combination of Gray Elves and Drow - Gray Elf stats with innate magical abilities and magic resistance like the drow, tweaked to reflect their status as craftsmen. They'd still have that Level Adjustment, but they are supposed to be well above Elves that never went to Valinor.
Feanor should still rate epic level status, just barely missing out on Divine Rank 0.
