Is it a well-formed sentence?

Just the other day I was hearing an american nativ speaker saying something like that: (it was an interview and he was taking questions) "What did you go shopping for?" was the first questions....and after few minutes of discution he asked : "And what did you say you did? Did you say what you did for a living?"

And I am steel asking myself why the first question seems odd to me. Is it a well-formed sentence? can I use it exactly as it is?

Regarding to the second questions, is it proper to use the past tense of the verb "to do"?

thanks

lalneagra