"Hemma" is a location, "hem" is a direction. You're talking about movement in a direcion rather than in a certain spot here, so it has to be "hem".
Jag vill gå hem, so this means that the person just has the 'feeling' to go home? Not specifically by foot or transportation? (Until further notice of course)
It merely implies wanting to go home, the mode of transportation is unclear.
Why not Jag vill att gå hem? I'm not sure when to use 'att' and when to leave it out...?
I grew up hearing about my mother's Swedish mormor. She spoke English well, but at the end of an evening's visit she would announce, "Jag gå hem nu." When she said that everyone knew it was time to take her home Now. She was a liten kvinna , but she was also "She who must be obeyed." :-)