No. You can just say "Where are you going?". Actually that's more natural to me.

Where are you going (to)?.......optional Where's the book (at)?..............'' '' '' '' '' *-but sometimes you have to place the preposition-* What is this made of?...........you must use preposition here If ever in doubt, you can place the preposition, as a matter of fact, some grammar books will suggest always using the preposition, since there is no rule as when to omit or place it.