As David R explained, when you use them as "destination particles" to mark the location like Hokkaido, you can use them interchangeably.
Some textbook such as Genki explains difference between に and へ as following:
へ to mark a physical destination such as a home, a school, cities...
ie: 来週、北海道へ行きます。 Next week, I will go to Hokkaido.
に to mark a physical destination AND activities an events such as a party, a movie, graduation ceremony...
ie:来週、コンサートに行きます。Next week, I will go to a concert.
To learn uses of particles, there is a good reference book called "All About Particles: A Handbook of Japanese Function Words by Kodansha
Learn more: https://www.amazon.com/dp/1568364199/ref=cm_sw_em_r_mt_dp_U_uUflEb4H5SYZR