"We like to play hockey."
Translation:Wij spelen graag hockey.
Normally, yes. Although sometimes you can start a sentence with 'graag', for example 'Graag stel ik je voor aan.... ' which means 'I would like to introduce you to.. '.
Also, if you say something like 'I'd like to see you' it would be 'ik wil je graag zien', so 'graag' indeed comes after 'wil', but the person/object you want to see comes directly after the verb, before 'graag'.