Not sure where you’re up to, but the particle で is covered in season 6.3 – in this context, it means “by means of”.
But yes, he doesn’t ever seem to introduce the particle へ – at least, not that I’ve been able to find. It’s got a similar meaning to the particle に-as-direction-of-travel, but there’s more emphasis on the travel itself (whereas the emphasis for に is on the destination). It’s something like the difference between “to” and “towards” in English.
Just to confuse matters, it’s pronounced “e” (not “he”).