We usually say "flying north". If you wish to use "north" as a noun (as an object to a preposition, for example), we need the definite article: "flying to the north." This construction, is less common, and also a bit ambiguous, since it's not clear if "to the north" is a direction of travel or a location relative to the speaker. The phrase "flying northwards" indicates direction of travel, but unlike the other two phrases, does not suggest arrival in a location that would be termed "the north".