Your questions without an auxiliary do are not correct:
What did you say? (correct)
What you said? (not correct)
The second form is never correct. Note that it is correct as a relative clause:
I heard what you said.
As a stand-alone sentence, however, "What you said?" is never grammatical.
Note that questions with verbs of being do not need an auxiliary like do:
Where are my shoes? (correct)
What is your name? (correct)
When was my brother here? (correct)
In all my examples above, the "wh-" question words act as nouns or adverbs:
What did you wear? I wore my red dress.
When was my brother here? He was here during the last thunderstorm.
However, some question words act as adjectives to modify nouns. In that case, you do not need a form of do:
Which bus goes to New York? (correct)
This bus goes to New York.
Whose dog wants to play?
My dog wants to play.
What you said./Where you go/etc.. are Wh-clauses. Not Wh- questions – Dinusha – 2014-10-28T14:36:42.743
What about in other wh questions? You know I thought my question might become misleading. Yes they are like clauses. But I mean sonething else. There are sometimes I cannot remember that depending on answer, they do not use "do" or "does" in some wh questins. – user5036 – 2014-10-28T14:43:05.710
Note that questions that use verbs of being do not require do: "*Where are my shoes?", versus "Where did I put my shoes?*" I cannot think of any rule about not using do with proper nouns. – apsillers – 2014-10-28T14:43:48.960
@apsillers - Which bus goes to the down town ? VS Which bus does go to the diwn town? How should I quickly figure out that I should make the first one? – user5036 – 2014-10-28T14:57:42.193
1@user5036 Aha, now I understand the kind of question you mean! I'll post a new answer. – apsillers – 2014-10-28T14:58:35.550
1In early modern English, there were other proper forms: What said you, What wore you?, Where go you? Shakespeare wrote: Where goes Cesario? (The forms we use today, like Where does Cesario go? would also have been grammatical then, but a brief search of Shakespeare suggests that with where, they were somewhat less common.) – Peter Shor – 2014-10-28T18:14:38.527
1@PeterShor and the key pattern to notice there is that the first verb still must come before the subject. – Dan Getz – 2014-10-29T10:23:09.817