Is it common to say this in a casual setting? Seems strange that I've never heard this before.
There are so many ways to phrase this question in a casual setting that you just might not have heard this specific variant. Here are some others that are just as common:
Hvem skal til at gå?
Hvem er på vej ud af døren?
Hvem skrider? (very informal)
There is no way to know if you mean "who is leaving (right know)?" or "who is about to leave?", right ? Or maybe you would use "lide" to say the former one ? Would that be " hvem er lide ved at gå ? " or "hvem er ved lide at gå ?" ?
"Hvem er ved at gå?" means both "Who is leaving right know?" and "Who is about to leave?". To emphasise that you mean the latter, you would say "Hvem skal til at gå?" or, as you suggest, "Hvem er lige ved at gå" (note the spelling of "lide". Saying "Hvem er ved lige at gå" is strange, although it is not totally incrorect.