Not really. That wouldn't be considered "proper English" because (1) you're not supposed to end a sentence with a preposition (which is a silly rule of "proper English" and you should ignore it anyway), and (2) English isn't really concerned with the motion; it's a bit redundant to "WHERE are they going TO." It doesn't sound natural.
First myth: This is the sort of English up with which I will not put! Wrongly attributed to Winston Churchill supposedly highlighting the ridiculousness of making English conform to Latin standards.
Which brings us to the second myth that we are never to end a sentence on a preposition:
Some of these groundless rules (termed ‘fetishes’ by Henry Fowler in 1926) have a long history. Back in the 17th and 18th centuries, some notable writers (aka Latin-obsessed 17th century introverts) tried to make English grammar conform to that of Latin – hence the veto on split infinitives as well as the current preposition confusion.
The word ‘preposition’ ultimately derives from Latin prae ‘before’ and ponere ’to place’. In Latin grammar, the rule is that a preposition should always precede the prepositional object that it is linked with: it is never placed after it. According to a number of other authorities, it was the dramatist John Dryden in 1672 who was the first person to criticize a piece of English writing (by Ben Jonson) for placing a preposition at the end of a clause instead of before the noun or pronoun to which it was linked.
This prohibition was taken up by grammarians and teachers in the next two centuries and became very tenacious. English is not Latin, however, and contemporary authorities do not try to shoehorn it into the Latin model. Nevertheless, many people are still taught that ending a sentence or clause with a preposition should be avoided.
There are several examples at the above link, which finishes like this:
To sum up, the deferring of prepositions sounds perfectly natural and is part of standard English. Once you start moving the prepositions to their supposed ‘correct’ positions you find yourself with very stilted or even impossible sentences. Well-established and famous writers over the years, such as George Orwell, Anthony Burgess, and Julian Barnes, have been blithely stranding their prepositions to no ill effect: please feel free to go and end a sentence with a preposition!
And a supporting link here (but the google will show many more):
So, given that this exercise sentence is introduced in the Adverbs section some 10+ units before we learn any other tense besides Simple Present, then the most direct translation is, "To where do they go?" but we can stop fearing prepositional endings (not sure DL's stance on this though). :)
However, as some have mentioned, "to" in English is not needed in this case so, "Where do they go?" is probably best (and DL is technically wrong here; or bullied over the years to accept, "Where are they going?").
The correct way would be "where are they going?". You would almost never use "to where" in English, and even then it would be barely correct. For instance, imagine you have a friend who never left the town he lives in. One day you meet a mutual friend who tells you he is moving to a remote Island in the Pacific Ocean. As an emphasis on the surprise over the location choice, you could ask "He is moving to WHERE?!". Other than that "to" pretty much never goes before "where", only after, or is dropped altogether.