I am sorry for your loss. And what has been stated is true, it never gets any easier. But that should never stop us from opening our hearts to love.
Yes I believe they go someplace great. Additionally, I've experienced some "visits". Keep your senses sharp. Sometimes their love for us is so vast they have to sneak visits and stomp around on our bed, or purr in our ear one more time. They like to remind us that love itself does not expire.