Hi Diego,

The expression 'aller faire les courses' is widely used in French for, to go shopping / to do your regular shopping-

Je dois/J'ai besoin de faire les/mes courses = I must go shopping/ do my shopping 

Chris, I think you are thinking of the expression 'avoir envie de' to express want/wish.

To express something you need to do/have to do you would use 'devoir' or 'avoir besoin de faire', or even 'falloir' -

Il faut que je fasse mes courses ce matin= I have to do my shopping this morning

Hope this helps!