Although the sky was grey, we ____ on our picnic.

The correct answer is (C) did go. This option correctly uses the auxiliary verb "did" with the base form of the verb "go" to form the simple past tense, emphasizing the action despite the weather. This construction is grammatically sound and conveys the intended meaning of proceeding with the picnic. Option (A) "gone" is incorrect because "gone" is the past participle and requires an auxiliary verb like "have" or "had" (e.g., "we have gone"). Option (B) "had went" is grammatically incorrect; "went" is already the simple past tense of "go," and "had" should be followed by the past participle "gone" (e.g., "we had gone") to form the past perfect tense, which doesn't fit the context here. The phrase "did go" provides a clear and emphatic statement of action in the past.