Well, first off, if you're going to use the verb "suggest", you should use the present subjunctive:
I suggest that you not go there.
If you're going to use the verb "say", you can say it the way you have it written, but, to me, it sounds awkward or strange:
I say that you must not go there. (strange construction, but it's
I would say it this way:
I say that you should not go there.
I say that you shall not go there.
I say that you ought not to go there.
The best way to say this is by using the verb "suggest" with the present subjunctive as I have stated above. I also think that you could just drop the "I say that" or the "I suggest that" clause and just write it like this:
"You must not go there."
The clause "I say that" or "I suggest that" is superfluous if you just want to tell the person that he must not go there.
If you want to tell someone where he must not go by using the future "I will say that" or "I will suggest that", then that's fine, but it's not necessary per se:
I will suggest that you not go there. (It's fine, albeit
I will say that you must not go there. (It's fine, albeit
It is my personal opinion that my examples above are more in line with how native speakers would say it. They correct some of your odd constructions, but I would not say that your constructions are not grammatical or idiomatic; I would just say that they are not as common as the ones I've written above for you; and for all intents and purposes, the ones I've written for you mean the same thing even though a few of them may have slight gradients in meaning; nevertheless, you would still get your message across to the reader.
I hope this might have helped you out. Take care and good luck!