New Way (Recommended):
Please take a look at this answer.
Old Way:
Supposing you’re writing a program called myprog :
Put all your files in a directory like this
myproject/go/src/myprog/xxx.go
Then add myproject/go
to GOPATH
And run
go install myprog
This way you’ll be able to add other packages and programs in myproject/go/src if you want.
Reference : http://golang.org/doc/code.html
(this doc is always missed by newcomers, and often ill-understood at first. It should receive the greatest attention of the Go team IMO)