Murphy's grammar (Unit 63D) explains the usage of the structure go -ing: go swimming, go climbing etc. It gives a number of examples:
How often do you go swimming?
When did you last go shopping?
I've never been sailing. (!!)
What is been doing there? To me it should be "I've never sailed." Or if we use the verb go -- "I've never gone sailing." Because there is no be in the go -ing structure.