Update:
In the comments on drawing a Dashed down arrow, egreg provided an ingenious trick to simplify the resizing issue, by using \text{}:

Further Enhancements:
- There seems to be slight spacing discrepancy at the beginning of the arrow, which is more evident in the last example. I do not know what is causing that.
Code
\documentclass{article}
\usepackage{amsmath}
\usepackage{tikz}
\newcommand{\MyTo}[1][]{\mathrel{\text{\tikz \draw [-stealth, #1] (0,0) (0,0.5ex) -- (0.9em,0.5ex);}}}
\let\OldTo\to
\renewcommand{\to}{\MyTo}%
\begin{document}
$\alpha: A \MyTo[red] B \MyTo[blue,-latex] C \MyTo[blue,->] D$
$\beta: A \to B $
$\gamma: A \OldTo B $ \quad original \verb|\to|
Testing math sizes:
$\alpha: A \OldTo B \quad M_{B \OldTo C} \quad L_{M_{\OldTo D}}$ \quad original \verb|\to|
$\alpha: A \MyTo[blue] B \quad M_{B \MyTo[blue] C} \quad L_{M_{\MyTo[blue] D}}$ \quad original \verb|\MyTo|
\end{document}
Earlier Solution (does not resize):
You should probably just use your own command instead of replacing to, but if you do wish to redefine to you can use \renewcommand:

Notes:
- I added an optional first parameter to
\MyTo which allows you to pass in drawing options.
Further Enhancements:
- As the width parameters such as
1.0em do not adjust based on the math style, one should use \mathchoice to adjust this (See Gonzalo Medina's answer).
Code:
\documentclass{article}
\usepackage{tikz}
\newcommand{\MyTo}[1][]{\mathrel{\tikz \draw [-stealth, #1] (0,0) (0,0.5ex) -- (0.9em,0.5ex);}}
\let\OldTo\to
\renewcommand{\to}{\MyTo}%
\begin{document}
$\alpha: A \MyTo[red] B \MyTo[blue,-latex] C \MyTo[blue,->] D$
$\beta: A \to B $
$\gamma: A \OldTo B $ \quad original \verb|\to|
\end{document}
the solution? I mean, this is more complete but the other was written first. Which fairness criterion shall apply here? – c.p. Oct 10 '12 at 00:55