Most writers do write ‘I am going’ and for a very good reason.
Workshops always tell writers and would-be writers to use the active voice and that means writing ‘I go.’
But they also tell writers and would-be writers to write the way people actually speak and since most people say, ‘I am going’ most writers use that phrase.
So it works either way but if you ask me, always go with the way people actually speak.
