The final main story arc in Dragon Ball Z, the Majin Buu saga, introduced all manner of new characters and concepts. Some of these went without being entirely explained, seemingly contradicting previous rules and canon. Much of this stemmed from Majin Buu himself, who broke all kinds of rules concerning the Dragon Ball world.
Kid Buu was able to enter the sacred world of the Kais in the anime, but this feat logically should not have even been possible for the villain. This anime-only scene isn't explicitly explained, but it could have ties to the powerful Buu's origins and the nature of his powers. Here's how a villain fit for Hell ended up traveling to 'Heaven.'
Majin Buu Enters the Other World
When Kid Buu begins his rampage, Goku teleports away with the surviving Hercule, as well as Dende, Bee, Kibito Kai and Vegeta. In search of his opponent, Kid Buu teleports throughout the cosmos to find Goku. In the anime, a filler episode has Buu reaching the Other World of the Kais, much to the heroes' shock.
This leads to a violent rampage in Heaven as Kid Buu makes quick work of many of the deceased warriors in that realm. He nearly defeats Krillin until he senses Goku's growing presence, leaving the area to go and fight him. As mentioned, this takes place only in the anime, making its canonicity questionable. Even more questionable, however, is just how Buu was able to access the Other World in the first place. After all, he isn't a Kai and wasn't taken there by one, and he wasn't even dead. The explanation for this does have a connection to the Kais, however.
How Buu Went to the Other World
One explanation is that of Instant Transmission/Instantaneous Movement. This is one of the moves that Buu knew, and it could be explained in different ways. For one, he had once been combined with the later Good Buu, who himself was the result of the completely evil Buu's fusion with one of the Kais. Instantaneous Movement was a power known to be used by the Kais, and it was also used by others against Buu.
By copying the powers of those he had consumed and also learning the location of the Other World of the Kais through fusions such as Grand Supreme Kai and even Gohan, Buu was able to effortlessly teleport himself to the realm. This theory is bolstered later in Dragon Ball Super, when Grand Supreme Kai notes that his powers were tied to Buu. Grand Supreme Kai even manifests in the body of Good Buu, showing that the connection is still there.
Buu had also been shown previously as possessing the ability to teleport in and out of different dimensions, which is how he escaped the Hyperbolic Time Chamber. This proves how, possibly due to his connection to the Kai's, Buu's methods of Instantaneous Movement were on a whole different level compared to Goku's, allowing him to easily get to the Other World despite not being dead.
