Aha found it!
The Silmarillion; Of the Coming of the
Elves and the Captivity of
Melkor
Long and slow was the march of the Eldar into the west, for the leagues of
Middle-earth were uncounted, and weary and pathless. Nor did the Eldar desire to hasten, for they were filled with wonder at all that they saw, and by many lands and
rivers they wished to abide; and though all were yet willing to wander, many feared rather their journey's end than hoped for it Therefore whenever
Oromë departed, having at times other matters to heed, they halted and went forward no more, until he returned to guide them. And it came to pass after many years of journeying in this manner that the Eldar took their course through a forest, and they came to a
great river, wider than any they had yet seen; and beyond it were
mountains whose sharp horns seemed to pierce the
realm of the stars. This river, it is said, was even the river which was after called
Anduin the Great, and was ever the frontier of the west-lands of Middle-earth. But the mountains were the
Hithaeglir, the
Towers of Mist upon the borders of
Eriador; yet they were taller and more terrible in those days, and were reared by Melkor to hinder the riding of Oromë. Now the Teleri abode long on
the east bank of that river and wished to remain there, but the
Vanyar and the
Noldor passed over it, and Oromë led them into the passes of the mountains. And when Oromë was gone forward the Teleri looked upon the shadowy heights and were afraid.
