[noun (place)] + へ + 行く
へ行く means "go to" a place. The place comes first and takes へ, read "e", and いく行く follows in whatever form the sentence needs.
For the place you go to, へ and に both work and mean the same. へ leans a little towards the direction, に towards the arrival.
The overlap stops at the destination. "Go to do something" is the ます-stem plus に, and へ cannot take its place.
行く is a regular う-verb except in one place: its て-form and た-form are いって行って and いった行った, not ×行いて and ×行いた. へ stays as it is whatever the verb does.