If I play "O Elbereth" after WK attacks (that is, after dealing him a shadow card, but before resolving the attack)
"After an enemy attacks" means after the full attack has resolved. From the FAQ:
Q: When do “after this enemy attacks” Forced effects like those on Chieftan Ufthak (CORE 90) and Wargs (CORE 85) resolve?
A: These effects resolve immediately after step 4 of enemy attack resolution.
and want to put him on the bottom of the deck, does his "forced"-effect trigger, meaning I have to raise my threat by 3 to prevent him from returning to the staging area?
I guess so because both happen at the same time, and forced effects trigger before responses.
I don't think you need to. There is nothing in OEG's text that says the enemy must be engaged with you, only that it attacked you, so I think you can let it go back to the staging area and still put it on the bottom of the deck.