Translation:I go to the north.
Learning a language is odd. You learn by making sentences that you would never normally make so you can better understand the differences in the language. You cant change the meaning of a sentence because it sounds better, you have to translate it to where it is understood.
You need to be careful when translating Japanese sentences into English because Japanese frequently drops the subject (I, you, they, etc), while the equivalent English sentence would require a spoken subject.
"I will go north", "You will go north", "He will go north", and "Go north!" have noticably different meanings from each other.
The first sentence is the most likely translation of 「北に行きます。」since the speaker is the default subject most of the time. But the second and third sentence COULD be right, based on context.
However, this sentence is NOT translatable as simply "Go north!" because, in English, a sentence written without a subject would usually form a command or instruction. In Japanese, this kind of sentence would require the verb to be in the imperative form or one of the various other ways used to tell someone to do something for you.
In the original sentence, the subject is only implied, BUT it does exist. This is a common feature of Japanese. Many things can be "gone but not forgotten". Like when particles are dropped or left out, but they are still there in spirit.
Reported "I am headed north" as another correct solution; was marked wrong.