Answer:
C. Insert a comma after go
Step-by-step explanation:
The given sentence is an example of direct speech. These sentences repeat someone's words in the exact word they were spoken. These words are always enclosed by quotation marks. This is how we can easily recognize them.
Quoted words need to be somehow separated from the rest of the sentence. When we have a declarative sentence, such as this one, we should use a comma. Declarative sentences usually end with a period, and a comma substitutes it. It's used after the last quoted word and included inside the quotation marks.
This is why option C is the correct one.