You need to go to sony development website to request to unlock your boot loader (it is provided by sony and follow the steps)
after you do that you should have the code generated by sony after you provide the imei of your phone to sony...
then download android development tools (as guide by sony)
you need to boot your phone into USB mode (Blue led only) and from there use fastboot to push a file into your xperia go (which provide by sony)
then this is the ticky part
go to XDA development site look for Xperia Go thread
there is GO Android Development section... look for the latest kernel with CWM
http://forum.xda-developers.com/showthread.php?t=1912865download the "boot image + CWM Touch recovery v5.5.0.4"
where it contain custom CWM recovery... unzip it and extraxt out boot.img
use fastboot to push boot.img into xperia go
you now have CWM in your xperia go.
then copy the entire zip into your SD card and boot into CWM and flash custom kernel
now download Infinity ROM
http://forum.xda-developers.com/showthread.php?t=1949706and transfer to SD card and do the magic (Factory wipe / clear cache) and install ZIP (Custom rom)
remember to do full backup incase you screw up everything...
oh your warranty may have void by now hahaha but if you do the proper backup you may still have warranty)
remember flashing wrong boot.img (either wrong build/wrong model) will put your phone into soft brick (yes your phone in coma now) and you probaly shit in your pants.,.. the only way to revive it is to put your phone into USB mode again (blue led) and fastboot in a new boot.img to save your day....
note: noob dont try this at home...