If you are trying to say that you wanted to go to the Reichstag but in the end couldn't get there then it would be better to say "Wir wollten zum Reichstag". This does a better job in expressing the intent where the result wasn't achieved.
For the second part: "dann gingen wir verloren" would be OK if you were part of a larger group of people where the others lost you while going somewhere or you just could not keep up with them.
If for instance you are travelling with your family and just cannot find your way then it would be best to say "dann haben wir uns verirrt" or "dann haben wir uns verlaufen", meaning that you lost or couldn't find the way