Which sentence is correct

The question is:
Which class does he belongs to?

I know the answer, so I reply as:
I know which class he belongs to.

"which he belongs to" is a noun clause, or more precisely, an interrogative content clause. Unlike relative clause where you could put the preposition in front of the relative pronoun, there is only one way to express in the interrogative content clause.

Example of relative clause.
I know the teacher of the class to which he belongs.
I know the teacher of the class which he belongs to.

Therefore, only sentence (2) is grammatically correct.

2012-08-26 12:46:54 補充：
Correction: The question is: Which class does he belong to? (no "s" after belong)

If we stick to grammar only, both of them are correct.
However, if we consider our habits of speaking, it is more common to use sentence 2.