"I am going to a party on the weekend."
It would but slightly different info being conveyed. I highly suggest tai kims guide to japanese or w.e its calles
Seems they are almost entirely interchangeable. へ is preferred when welcoming someone to a place. [I'm not an expert, only a googler]
for reference, へ is used here because it's talking about a general direction, "a party", not someone's party, nothing specific, just a party. You would use に for example if someone were asking you if you are going to the party on friday, but in this example in particular is more like the speaker is starting a conversation. Both particles are used interchangeable but have small nuances like this, but often it you can shorten it to に = location and へ = direction.