Learn Italian: Per la stazione vado sempre dritto. - For the station, I keep going straight.

While sempre does mean "always" in most contexts, it has a special use when talking about directions. The phrase sempre dritto is a fixed expression that translates to "straight ahead" or "keep going straight."

Why use per (for) instead of a (to) when talking about the station?

In this context, per la stazione acts as a shortcut for saying "in order to get to the station." Using per highlights the destination you are aiming for, which is a very common way to frame directions in Italian.

If a woman is speaking, does dritto need to change to dritta?

No, it stays exactly as dritto. In this sentence, it is functioning as an adverb describing how you go (the action of going straight), rather than an adjective describing the person. In Italian, adverbs never change their endings to match gender or number.

Could I change the word order and say vado dritto sempre?

You should stick to sempre dritto. Because this is a set phrase for giving directions, changing the word order sounds very unnatural to an Italian speaker.