Macbeth has already killed Duncan, God's holy vessel, and his best friend, Banquo. He tells his wife, after the banquet scene in which Banquo's revenge ghost appears, that "blood will have blood." Bloodshed requires more bloodshed.
He then tells Lady Macbeth that he intends to visit the witches, "for now I am bent to know / By the worst means, the worst." He's already heard the good news from the witches (Thane of Cawdor & King); now, he wants to hear the worst news from the worst sources.
In this quote, "I am in blood / Stepped in so far that..." Macbeth means that he has already spilled so much blood (Duncan, Banquo) that it's "too late to turn back now." The witches and Lady Macbeth helped propel him down this murderous course, and he wants to see where it's going. Maybe he's even acquired a taste for it.
A major theme in the play regards time--the bells chiming, the knocking, clocks, "When shall we three meet again." Macbeth doesn't want time catching up with him, so the best course is to "go o'er," to continue the same course. It does not make sense to "double-back" his course, especially since Macbeth has the Witches' knowledge of the future. Not to mention that doubling-back is just plain boring ("tedious").
Macbeth also means that he's in the middle of the bloodshed. Since we are in Act III, and he's yet to kill Macduff's family and Young Siward, he's wading across a river of blood, and now that he's in the middle, it's easier to continue killing ("go o'er") than to wade back the way he came ("Returning").