Where do we go?
This is such a good question and there is no really lucid answer. Obviously, by faith we know that whatever happens we'll be united with Him for eternity, so what happens between here and then is almost moot... still...
In some of his letters, Paul speaks of those who "sleep" meaning departed Christians. Many have construed this to mean that we go and sleep in some place until we are woken up on the day of the Lord. But when we see remarks like "paradise" as used by Jesus when He was on the cross, we tend to think there is a place that our departed soul goes to and it is not in a sleeping state.
In Hebrews, the author goes to lengths to explain our "rest" in Christ. Our "work" in the world is completed when we die. Christ is the one who gives us "rest". But does that truly mean we go to sleep? Why then would Christ say what He said to the thief on the cross with Him? Why would He mention paradise? And could it be that those who "sleep" as Paul refers to them as doing, are those who've entered His "rest"? Could this possibly be "paradise"?
Obviously, "paradise" isn't the new heaven and new earth as mentioned in the Revelation. These are future tense. Just as hell isn't the lake of fire as mentioned in the Revelation. The new heaven and new earth and the lake of fire are futuristic rewards for the life lived here. Paradise and hell are present-tense. Perhaps they are best explained as a waiting room.
In the Revelation, when Jesus is speaking to the church in Philadelphia, He states that those who overcome will be a "pillar in the temple of my God" (Rev. 3:12). This would appear to be a present-tense situation, because there is no temple in the futuristic "new heaven and new earth" (Rev. 21:22) If we're snoring until the day of the Lord, being a "pillar in the temple of God" seems a little... well... useless.
That's my opinion as based on what the word of God says. I've seen and read different opinions also based off of different Scripture. Still, one wonders why Moses and Elijah were seen during the transfiguration, or why dead saints were seen after Christ's death, or why God would want us to be sleeping somewhere not mentioned until His return.
God bless you in your journey to know Him more!