Tokens do go to the graveyard when destroyed.

Token creatures are actual creatures and they will cause relevant abilities to trigger when they leave play. For example, Massacre Wurm‘s ability will trigger when a token creature controlled by an opponent goes to the graveyard. This also applies if the source of the ability itself goes to the graveyard. If a token copy of a Pelakka Wurm (perhaps made by a Mimic Vat or Rite of Replication) were to go to the graveyard, it’s own ability will trigger and its controller will draw a card.

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