(someone) is headed out

"Headed out" means "leaving" or "starting to leave". So "I'm headed out" means "I'm leaving".

This expression sounds casual, friendly, and kind of cool.

grab (something)

In casual English, you can sometimes use the word "grab" to mean "get". For example:

Jason, go grab your sister. I need her help with this.

Can you go grab some pasta sauce from the next aisle?

You want me to (do something)?

This is a way to offer to do something in a casual and cool way. Of course, the more grammatically correct way to ask is using "do":

Do you want me to pick you up something?

And an even more polite, more formal version is this:

Would you like me to pick you up something?

pick (someone) up (something)

To "pick up" something means to get it from a place quickly:

I'll go pick up all the stuff we need.

To describe picking something up for someone, use the phrase "pick (someone) up (something)":

Hey, can you pick me up a pack of cigarettes on your way back?