Depends who and where you are talking. At the office talking about going to WDW? Then it would be something like "I am going to the Magic Kingdom at Walt Disney World"
At your room and telling your family where you are headed. You could say "I am headed over to Magic Kingdom"
I don't believe "the" has to follow a noun.
You wouldn't have to say "I am going over to The MGM Studios"
This is a good question! Some places really are adament about using "The." For example, you can't say you go to Ohio State University. You must say you go to THE Ohio State University. Don't ask me why, though.