If a planeswalker that becomes a dragon dies, does it go into the graveyard? What about the dragon tokens that Sarkhan creates?
If a planeswalker becomes a creature, it acts as a creature in every way, including being able to kill it and send it to the graveyard with normal damage.
This means that if you activate Sarkhan the Masterless's +1 ability, then all your planswalkers (including Sarkhan) could be killed with something like Doom Blade or Flame Lash. It will be sent to the graveyard just like any other creature.
When a token creature dies, it does go to the graveyard, but then ceases to exist the next time state-based actions are checked. You can see more details about that here.