When I got home, I dug out my old beat copy of RotK to read the Appendices, and lo and behold, the end of App A says this:
"Legolas followed at last the desires of his heart and sailed over Sea.
'Here follows one of the last notes in the red book.'
We have heard tell that Legolas took Gimli Gloin's son with him because of their great friendship, greater than any that has been between Elf and Dwarf. If this is true, then it is strange indeed: that a Dwarf should be willing to leave Middle-Earth for any love, or that the Eldar should receive him, or that the Lords of the West should permit it."
OMFG, it's CANON! Right there in black and white! I nearly died laughing as I sent an email off to my slash-skeptical friends.