Yes, they go to heaven! I truly believe that. In fact, I just read the best book and recommend everyone read it, called "Heaven is for Real" by Todd Burpo. It is the firsthand account of his son's journey to heaven and back after a bursted appendix and emergency surgery. This 4 year child lived for days with a misdiagnosis and his memories are astounding.
I really hope they do. I know I'll be spending eternity in heaven with Jesus...and maybe I'm crazy to even think that once in heaven I would even think about my dogs, but here on earth, I couldn't imagine a heaven without them.