Is it okay to ask: Are we going for film?
Or is it compulsory to add "a"?
Are we going for a film?
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You can, but the meaning is different.
Are we going for film?
Because there is no article, we have to assume "film" is plural, or a mass noun. If you needed film for your camera, you could use this sentence to mean to are going to a store to buy film.
But if "film" is singular, as in a "movie", you need to use an article.
Are we going for a/the film?
though this would be an unusual way to say this ("film" more likely refers to the physical media). More likely, one would use something like:
Are we going to see a/the movie?