I usually embark on terrifying biomes so their fallen brethren from the last caravan usually take care of them but the clutter they leave behind is bad for the fps. Ofcourse I have absolutely no intent of keeping them alive since they bring nothing of use. Drowning them is an option but leaves the junk while good old atomsmashing just feels like a too quick way for them to die.
Here's what I sometimes do:
Dig a long row of depots closed with drawbridges and build a magma tank above them. Drawbridge goes up, magma comes down. Elves like fire, right? Just beware: sometimes their wood loaded donkies burn for a really long time unless you pump water on them. I have sometimes had multiple elven caravans burning on depots a few block away from each other. This way is bad for the fps so you might also want to consider casting them in obsidian or ice. (Making a secondary depot for obsidian casting takes some work but it is worth it!)
One more thing I tried once in an evil biome:
Build a long corridor to your depot with closing drawbridges and when they are in it, close their way to the depot and outside. Open a second set of bridges that has an alternative route to the depot, which the elves will take. Close the gates again and the elves are trapped in the corridor except this one has a floodgate that releases a horde of undead merchants to kill them. After they are all dead (and a moment later, "alive" again) you can lure the zombies back into the corridor behind the floodgate. This way none of the zombies should cause trouble for the less hippy caravans and the zombies will be behind a floodgate so they won't scare the elves until its too late to run. (Which they can't thanks to the closed drawbridges.) Just be careful when luring the zombies. I presume that a chained cat would work but I prefer to use dwarf larvae aka. children.