Is everything an illusion? What happens when you die where does your soul go?

The Upanishads deal primarily with this topic and there are several views of Moksha given by the learned and enlightened Rishis.
The teachings of the Upanishads can be categorized into divisions of fours. First the sate of the totality of Being. The four states of Brahman.
1. The Ultimate Reality /Universal Consciousness / Ground of Being/ Unified Field is known as BRAHMAN – the Immensity.
2. **Iśvara** — is the term given to that Absolute when conceived of as a Personal God. He has 3 sub-aspects known as Brahma, Vishnu and Siva.
3. **Hiraṇya-garbha** — is the aggregate of individual Selves or modes of consciousness (jīvas/ātmas) that are still self-identified and have not yet been liberated.
4. **Virāṭ** — is the material Cosmos with all its innumerable galaxies and dimensions extending into endless space.
There are four stages of consciousness:–
1. **Jāgrata** – the waking state in which we react, interact and transact with the external world.
2. **Svapna** – the dream-state in which we lose external consciousness but are aware of the inner world of our thoughts, feeling, fears, etc.
3. **Suṣupti** – the state of deep sleep of unconsciousness in which we are still consciously present but devoid of either external or internal awareness.
4. **Turiya** – the transcendental state of consciousness which is deeper and supernal to the other three states – inexpressible and indescribable.
Then there are four states or rather stages of Mokṣa touched upon (I will give their literal meanings.):–
1. **sālokya** – living in the same world.
2. **sārūpya** – having the same form
3. **sāmīpya** – being close to
4. **Sāyujya** – merging into.
So now lets put them together to explain further.
On our spiritual journey (with Vedānta) we actually ascend through 4 stages of realization and achieve four states of Liberation / Moksha.
STAGE 1. The first stage is called *sālokya* — corresponding to the waking state of consciousness (*jāgrata*) — the realization that the entire vast universe of billions of galaxies and universes is all pervaded by the Divine Consciousness. (*Viṣṇu* means That which pervades the entire universe and everything in it.) It is the undifferentiated Ocean of Being.
MOKSHA # 1 – Freedom from the idea that the world is separate and independent from us and is an ultimate source of abiding pleasure and joy.
STAGE 2. The second stage is *sarūpya* or *sadhārmya* — corresponding to the dreaming state of consciousness – realization that every being is interconnected and all “apparently” separate jivas are embodiments of the One Divine Consciousness.
MOKSHA # 2 ­– Freedom from *ahaṅkāra* - the notion of self-identity and the notion of difference and the *other*, thus being able to cultivate empathy with all and universal compassion for all beings.
STAGE 3. The third stage *samīpya* — is intimacy with the Divine — corresponding to the unconscious dreamless state of consciousness – God-realization occurs when the nature of the *saguṇa īśvara* is cognized and one surrenders to Him/Her.
MOKSHA # 3 – Freedom from all self-effort to achieve liberation, freedom from religion and its bondage and the relinquishing of all self-imposed burdens – achieving a state of equanimity, tranquility, abiding joy and peace.
STAGE 4. The final stage *sāyujya* — communion with, or unification with the Absolute Godhead — corresponding to the *Turiya* or inconceivable and inexpressible fourth state of consciousness – a merging with the Godhead bordering on complete identity.
MOKSHA # 4. – Absolute freedom from rebirth and suffering — the final stage of Brahma-nirvāna

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The Bible has your answer

Ecc 12:7 and the dust returns to the ground it came from, and the spirit returns to God who gave it.

Because 

Gen 2:7 Then the LORD God formed a man from the dust of the ground and breathed into his nostrils the breath of life, and the man became a living being.

Death is the opposite of life.

The base meaning of the word soul is 'breather'. Thus anything that breaths is a soul.

We do not have a soul, we are a soul.

When we stop breathing we become a 'dead soul'.

Jesus and others likened death to sleep.

When we are alive we experience many things, we can have love and pain. We can learn and work.

When we are dead, we can do nothing, know nothing, feel nothing.

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Where are you expecting to go?