Hello Anna,
the correct translation to "I want to go shopping' is Ich will einkaufen/shoppen gehen. Out of the three verbs you provided, the closest translation would be Ich möchte einkaufen/shoppen gehen - I would like to go shopping. I don't know which context you are using shopping in, so just a heads up - you can go einkaufen mainly for groceries, shoppen on the other hand is for going shopping for clothes, shopping in department stores.
Gruß,
airabeth