The particles に and へ are used to indicate movement towards a destination.
In the case of movement towards a destination, the particles can be used interchangeably.
I am going to the shop.
店に行きます。 mise ni ikimasu.
I went to the university.
大学に行きました。 daigaku ni ikimasita.
When did you go to the United States?
いつ米国へ行きましたか？ itu beikoku he ikimasita ka?
I often go to China.
中国へよく行きます。 tyuugoku he yoku ikimasu.
In Japanese, whether you use 行く or 来る depends on the viewpoint of the speaker.
If there is movement towards the speaker, you use 来る and if there is movement away from the speaker, you use 行く.
This explains the sentence below, which sounds unintuitive to English speakers.