Hello, Suk1, and welcome to the Grammar Exchange.
We go for swimming classes on Sunday.
The sentence above does not sound idiomatic. Where have you taken it from? We would normally say:
- We go swimming on Sundays.
or
- We have/take swimming lessons on Sundays.
The main verb is go, have, take. "swimming" is a gerund that premodifies the noun "lessons," meaning "lessons of swimming." The gerund is like a noun. Compare with tennis lessons (lessons of tennis).