The proper expression is "go for a sail". Not all nouns require determiners (non-count nouns for example) but in this case the idiom requires "a". If your book teaches "Go for sail" (without any further context) then the book is incorrect.
Wren and Martin was written in the 1930s, it has been updated since, but is still old fashioned in many ways, and some of the updates have introduced errors. It is almost unused outside of Pakistan. There are much better English textbooks available.
(there is an unlikely sense of "go for" meaning "make a choice". You can say "I'll go for steak tonight" meaning "I'll choose to eat steak". I suppose a captain on a boat which has both sails and a motor could say "There's a fair wind blowing; let's go for sail instead of using the motor." But this would be a pretty forced example)