Photons can be created and destroyed freely, since they don't have charge or mass. Turn on a light, and you create many photons. Any body (made of atoms) not at absolute zero temperature will spontaneously emit photons.

They are consumed just as easily. Most any bit of bulk matter will absorb a photon in the electrons on the surface, transforming the energy into density vibration.  No mystery; electrons (being charged) can do that.  It's the opposite process of emitting via thermal vibration.

So *where does it go*... think of the electromagnetic wave, not the quantization of it.  Vibrations in E field make electrons slosh back and forth. Moving charged particles create electric field changes in turn, which cancel out the wave and prevent it from propagating farther.  Where does an ocean wave go when it hits the beach? It stops propagating so the *wave* (a phenomenon not an instance of an object) ceases to be.