How deep are you planning to go with the Magic in the world. By that I mean, is Magic replacing Technology, or is it replacing Physics?
I really like this Idea, so Ive been rolling it around in my head all weekend. Near as I can come up with, these are the basic setting elements you'll want to replicate/address in order to preserve a Western feel:
The Old World - To provide a contrast to the Frontier of the "west"
Indians - A "savage" race. Primative, tribal and/or nomadic, naturalistic. Not seen as equals and/or human. Large language/cultural barrier. Original inhabitants of the Land, now being displaced by the "white man" settlers. Probably a great role for your elven race.
Slaves - Not nessesary to the "westen" feel persay, but historically relevant, especially if you have it set near a Civil War event (either leading up to a war or set in reconstruction after). Offhand, I would say the Dwarves would be a good fit: short but strong makes them good for manual labor, could have knowledge of things lost to the "Modern" way of thinking, kept alive in secret. They could also give a whole new meaning to the "Underground Railroad"
Transportation - This depends heavily on your magic system and how prevalent you want to make it, but you need the same basic levels of travel:
-Horse - or similar aminal mount
-stagecoaches - or similar, basically just a slightly more comfortable than mounted travel
-trains - just make them magically driven instead of steam.
Or you can look at them a little more abstractly, and just keep the actual story impact elements. Like instead of Trains you maybe have a portal system that transports people from station to station (sending people through ether-streams or ley lines or something); it;s still fast, capable of providing a large econimic motivation, is the main means to move large volumes of people/goods to the Frontier, is schedule driven (which is what started novel new things like standardized time zones and such), and is generally safer from the dangers of the Frontier than a coach-ride.
Missionaries - Like slavery, religion isn't critical to the Western, but its still relevant if you so choose. These would be the guys "Spreading the Word", whatever that is, through the rontier. The defining traits would be magic heavily on the defensive side, but requiring more devotion/belief than the rough and dirty mechanisms of normal magic, or else maybe fueled by an actual entity of some kind. They'd need a heavy philosophy of some kinds, ideally somethign that can easily be shouted from a soap-box. They's also likely have conflict with the Natives, who already have their own religion/philosophy/worldview.
Weapons - The west was a time when guns had displaced swords as the primary tool for killing men.
-Guns
-Pistol - Basic self defense tool, various levels of sophistication, close to mid range
-Shotgun - the big hitter, shorter range, slow/limited shots
-rifle - long distance, prescision tool. Takes higher skill level to use properly
-Cannons - Bulky military weapon, more seige unit than anti-personelle. Costly, unwieldy, and powerful. Improper use will likely kill everyone nearby.
-Hand
-Dangerous tools, but have been displaced by "guns" as the specialized man-killing tool.
-Savages. Whatever the Indian analog will be uses older, more primative (at least to the white man's eyes) weapons, which are usually outclassed/overpowered by the modern guns.
-Still seen in military units, but typically more ceremonial than most (think Calvalry/officer's saber)
EDIT: finished this just as you posted the magic write-up. Will edit in light of that soon