Hola Emanuel

When using "me voy" we are more focused on the fact that we are "leaving a place" and the actions is "about to happen". This is the typical phrase that we use to say "Right, i am off" when you are in a bar with friends for example and you think it is time to go home: "Me voy", "Vale chicos, me voy", "Yo me voy ya" ... 

We would say: "Me voy a mi clase de yoga" if you are about to go/ going very soon, and also emphasising the fact that you are leaving the place where you are.

We would say: "Voy a mi clase de yoga" if this is more of a general sentence, for example "Voy a mi clase de yoga cada lunes". In this case, the focus here is "where" you are going.

I hope this helped.

Inma