actually, all are correct, just there is a slight difference in the three sentences (like the manner of speaking/ emphasis..), but the meanings are almost the same.
No. 1: the 了, emphasized the verb more than the whole fact, that is to say, it is intent to draw a line under the verb: went, the motion has already happened.
No.2: the 了, emphasized on the place you went more. just like: I went to somewhere yesterday, the place is supermarket.
No.3: this one is something like the past perfect tense, it emphasized the verb “go” and the place "supermarket" at the same time, the whole fact.
So you might think "\了" can help to express the past time thng, not only just a verb, that depends on the location it is placed in.
Hope that can help you