Hi Bui. The way most people use the words, "Heaven" and "Hell" are concepts rather than actual places. To illustrate a point, Heaven represents perfection, a happy place in the afterlife, or the place where God lives, while hell is the opposite; a place of torment, an unhappy or tortuous place in afterlife, or the place where the devil lives. One could say that someone will "go to heaven" because they lived a good life, or one could curse anther by telling them to "go to h*ll" (which can be a very offensive phrase), but as you pointed out, as concepts these words do not need an article. One could use the infinite article with hell ("a living hell" ex: "Life in the war zone was a living hell.") but not the definate article. Likewise, you can use the definate article with heaven but not the indefinate (Heaven and hell are opposites after all.) If you say "the heavens", it is always plural and refers to the sky or (outer) space.

Think of Heaven and Hell as being names of places. Place names do not take the definite article unless the article is part of the placename itself. For example we do not say the France, but we do say the United States of America.