FYI: In some context, "coming" seems to fit better than "going". This sentence can be used when someone is waiting for you at the door and asking, like: Where are you? We'll be late! And you answer from your room, hastily putting on your clothes: Да, я уже иду! Or just: Иду-иду! (Coming!)
The more direct translation of "come" - "приходить" - wouldn't sound natural here. You wouldn't say "Я уже прихожу".
Is anyone else having trouble differentiating which syllables are stressed in some Russian words? Every time I hear у-ЖЕ it sounds like У-же to me, and че-ло-ВЕК sounds like че-ЛА-век, etc. I have no trouble hearing the reduced vowels; it just sounds like the wrong syllable is being stressed sometimes. I've never had trouble with this in other languages. Is it me? Is it the audio? I have to look up each new word on Wiktionary to make sure I'm stressing the correct syllable.
Иди ("ee-dee") is the imperative of the verb идти. Like if you're giving the command or asking someone to go ("Go to the store", "Go outside!", etc.). It is second person singular (ты), for informal conversations. Иду ("ee-doo"), is the first person singular (я) conjugation, meaning "I am going", or "I go".