へ indicates destination, and に indicates direction.
So in your examples, the literal meaning would be:
東京に行きます = I'm going (in the direction of, "but could potentially get sidetracked on the way to" etc.) Tokyo
東京へ行きます = I'm going (directly to) Tokyo
But yes, they can be interchanged readily, and people will still understand what you mean! So I wouldn't worry too much about this one, unless there is a potential for pit stops and you want to specify that.