Why "go it alone" and not "go alone"?
If you want to go it alone, be my guest.Why do you add "it" too? Will it still make sense if I just say "go alone"?Thank you

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Agreed with the above.  Perhaps it helps to look at it like this:
if you want to go (and do) it alone, be my guest!

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Rebecca and Joseph are correct. 
Go alone means to go somewhere without anyone else.
Go it alone means to do something without any help or company.

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"If you want to go by yourself (go alone) then be my guest"

"If you want to do it yourself (go it alone) then be my guest"

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They are a little bit different.
 "go alone" means physically going to a place alone
"I'm going to the party alone, but I'll meet my friends there."
"go it alone" means that you are declining or don't have help
"I couldn't afford to continue with my personal trainer, so now I have to go it alone at the gym."