Hi Diagenes,
Because most towns and cities don't have an article (le, la , les) in front of them, you will just use : 'à '
Je vais à Paris, à Rome, à Madrid, à Londres, à Calcutta, etc...
N.B. With some towns, cities and villages which have an article in front of them as Le Havre , Le Caire (Cairo) it will follow the rule -
Je vais au Havre, au Caire, etc...
Countries have an article in front of them so it will depend whether they are feminine ( La France) or masculine ( Le Brésil) , or plural (Les États-Unis).
e.g. Je vais en France, au Brésil, aux États-Unis...
Take a look at the following lesson which will give you more examples -
Hope this helps!