Be careful: while it may be translated as "They are already going" in certain contexts, it cannot mean "they are already leaving" (one of the possible meanings of English "they are already going").
This sentence could often be translated as "they are coming" - it all depends on the context.
I would say that the best translation would actually be "The are already on their way" (while implying they are on foot, not driving etc.).
No. In reference to people (or any other animate objects such as animals) "идти" means strictly "to go on/by foot". For any wheeled mean of transportation you would use "ехать" instead.
In reference to inanimate objects, "идти" means something like "to go on", "to proceed":
Идёт дождь - It's raining
Время идёт - The time is passing/the clock is ticking (figuratively)
Часы идут - the clock/watch works (literally - the clock has not stopped).