My opinion is that a small party might refer to the number of guests. A little party could be the level of formality, a very casual party. But that is not a rule and they are interchangeable.

Either could be used to describe a social event. The term 'a small party' would probably be the most commonly used expression, although both are correct. For example, 'I'm having a small party next week to celebrate my birthday and I hope you can come.' However,if you were talking about a political party for instance, you would use 'a small party,' meaning a party that doesn't have many members, or much following.

I personally would say ' I am going to a small party this evening ', however I am not a master of grammer or a teacher of English.

I little is a phase. I am not sure a small has any special meaning. but maybe I can help you ask my foreign teacher later.