Formal:
* छुट्टियाँ मनाने जा रहे हैं (chuttiyan manane ja rahe hain): Literally "going to celebrate holidays"
* पर्यटन के लिए जा रहे हैं (paryatan ke liye ja rahe hain): "Going for tourism"
Informal:
* छुट्टी मनाने जा रहे हैं (chutti manane ja rahe hain): "Going to take a vacation"
* घूमने जा रहे हैं (ghumne ja rahe hain): "Going to travel/explore"
You can also use the phrase "vacation" directly in Hindi:
* वेकेशन पे जा रहे हैं (vacation pe ja rahe hain): "Going on vacation"
The best way to say it depends on the situation. If you're talking to someone you know well, you can use the informal options. If you're talking to someone you don't know well, or in a formal setting, you should use the formal options.