The most vibrant power place of Dorje Shugden must become our own gompa or celestial mansion in which we propitiate the Dharmapala daily through the condensed and middling sadhana, frequent kangso, and the precious close retreat of this supreme Protector.
While it is undoubtedly blessed to go in person to traditional holy places, second to this, which I have done to extraordinary transformative effect is a virtual pilgrimage examining holy sites and objects, but most of all we should never forget the power of the living presence of Dorje Shugden wherever we are, particularly that our personal gompa - as just mentioned - becomes the most precious power place of Dorje Shugden for us.
Throughout history Masters have done pilgrimage, but it is worth noting and a point well taken, that Trijang Dorjechang explains in his extensive Heruka body mandala commentary that if we generate a holy place right where we are, in particular the 24 external holy places inside the practitioner's body, that circumambulation and so forth merely cause the bodily elements to degenerate. In other words, why travel extensively on pilgrimage to meditate in holy places when the holiest places have been generated within your own body and environment through sincere practice.