My significant other tells me that I'm not "going to go" to the shops, I'm "going to" the shops, and beats me mercilessly when I say that.
Is this not correct? I might not be going to the shops until later, is my point!
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There is a slight difference in literal meaning between the two phrases, though it's not very significant:
Going to the shops = you are at this moment on your way to the shops, or (more colloquially) you are planning to go, as in: "I'm going to the shops this afternoon."
Going to go to the shops = you are just planning to go to the shops. Here, going means something closer to "planning."
All that said: If this is the worst fault your significant other can find with you, then you're doing pretty well!
I think the confusion might have to do with the double use of the same verb in the phrase. We feel that this does not "sound right", but grammatically it is correct.
This afternoon I'm going to read a book, but right now I'm going to the shops.
This afternoon I'm going to go to the shops, but right now I'm baking a cake.