Tae Kim's guide to Japanese grammar (http://www.guidetojapanese.org/learn/grammar/verbparticles) is a very good site, so I recommend you to check it out!:
'The primary difference between the 「に」 and 「へ」 particle is that 「に」 goes to a target as the final, intended destination (both physical or abstract). The 「へ」 particle, on the other hand, is used to express the fact that one is setting out towards the direction of the target. As a result, it is only used with directional motion verbs. It also does not guarantee whether the target is the final intended destination, only that one is heading towards that direction. In other words, the 「に」 particle sticks to the destination while the 「へ」 particle is fuzzy about where one is ultimately headed. For example, if we choose to replace 「に」 with 「へ」 in the first three examples of the previous section, the nuance changes slightly.'
Bob headed TOWARDS Japan.
Friend will go to Japan next year.
So basically, I would use 「へ」 when you're heading towards somewhere, and「に」when you go to a target as the final.