Your questions without an auxiliary do are not correct:
What did you say? (correct)
What you said? (not correct)
The second form is never correct. Note that it is correct as a relative clause:
I heard what you said.
As a stand-alone sentence, however, "What you said?" is never grammatical.
Note that questions with verbs of being do not need an auxiliary like do:
Where are my shoes? (correct)
What is your name? (correct)
When was my brother here? (correct)
In all my examples above, the "wh-" question words act as nouns or adverbs:
What did you wear? I wore my red dress.
When was my brother here? He was here during the last thunderstorm.
However, some question words act as adjectives to modify nouns. In that case, you do not need a form of do:
Which bus goes to New York? (correct)
This bus goes to New York.
Whose dog wants to play?
My dog wants to play.