Learn Polish: Teraz idziemy w lewo.

Idziemy is a specific verb of motion that means we are walking somewhere right now in one direction. Because the sentence says teraz (now), we must use idziemy. We would only use chodzimy for general habits or walking around aimlessly.

Do I need to say my idziemy to mean "we go"?

No, you can drop the pronoun my (we). The ending -emy on idziemy already makes it perfectly clear who is going. You only need to add my if you want to emphasize that we are going left, as opposed to someone else.

Why is there a w before lewo? Doesn't w usually mean "in"?

It does usually mean "in", but with directions it acts more like "into" or "to". The phrase w lewo is a fixed expression meaning "to the left". You always use them together when giving directions.

Is lewo an adjective? How is it related to lewy?