After the Rabbi I asked about this said that it was acceptable to thoroughly
wrap the lulav (in foil or whatever)and then dispose of it -- that is what I
seem to end up doing with the willows which otherwise shed or get moldy.
The Haddasim I strip into a brandy snifter, add the Esrog (which I've studded
with cloves) and some cinnamon sticks and it makes for a lovely and unusual
"spice box" for Havdalah. (note: during the first week or two it should be
stirred up a little to let the Haddasim dry evenly)
The palm frond is saved and we burn it with the chometz before Pesach.