Hi, Molly.
Your attempts are not bad, but the literal translation doesn't seem to work in Irish the way we English speakers would like it to....
Your first attempt was:
Níl a fhios agam nuair a tá mé ag dul, ach tá mé ar mo bhealach.
"Bealach" does, indeed, mean "way", as does "slí", but "bealach" properly means "channel", "road", "roadway" or "thoroughfare", as well as "way", but it seems to be more in the line of "way" as in the name of a type of street. "Slí" is similar, but I've seen it used for the way one travels as well. In both cases, though, these terms seem to refer to something "static", whereas you are trying to convey the idea of being "in progress". I would suggest the following:
Níl a fhios agam nuair a tá mé ag dul, ach tá mé ag siúil. (I don't know where I'm going, but I'm walking.)
That seems to carry the idea that you are "actively" going somewhere, where saying "ar mo bhealach" could mean "I'm standing on the road" (but not going anywhere)." I hope that makes sense.
One caveat is that I'm not sure if "siúil" should be lenited to "ag shiúil". I couldn't find an example in my online Irish dictionary that uses that construct. To complicate matters, "siúil" is listed as the verb form, but is an intransitive verb, which means that it doesn't have a conjugation, and therefore no "verbal noun" is given. It is used in other expressions like, "Siúil leat!" meaning "Come on!"
My other caveat is that I'm no where near fluent, but I think this carries the sense of Irish idioms much better than the literal translation. Hopefully someone will confirm (or refute) my offering so we can be more definitive about this....
Slán!
Dale D