I have the Rode Wireless Go (plus the Rode Lav Go), and I like it, but I had a lot of trouble connecting it to my Macbook via the headset jack. I tried a lot of internet-suggested tricks but none of them worked. What I finally figured out is that the Macbook does not recognize the Rode Wireless Go as a microphone! Oddly enough, that was the key to getting it to work.
How to understand what your Macbook is doing:
The Macbook tries to make things "just work". You can plug in headphones or a headset, and it will just work. Headphones do not have a mic, but headsets do have mics. If you plug in headphones (no mic), the Macbook should obviously route the sound output to the headphones instead of the internal speakers, but still keep using the internal microphone for input. But if you plug in a headset (with a mic), then it should route the sound output to the headset, and also use the headset mic for input instead of the internal microphone.
So how does it do this? When you insert the plug, the Macbook checks to see what you inserted. It does this by testing the electrical properties of what you plugged in, to see if it looks like a headset. Some Macbooks just check to see if there is a microphone connected, while others check for the full headphones + microphone combination.
If the "is this a headset?" (ITAH) check comes back positive, then the Macbook switches to the external mic. If the ITAH comes back negative, it keeps using the internal mic. Either way, it always routes the sound output to the jack if something is plugged in (even if it's just a plug or splitter with nothing connected).
So, all the solutions on the internet basically boil down to this: To use a mic that is not part of a headset, you have to trick the Macbook into thinking you plugged in a headset.
But none of these solutions work with the Rode Wireless Go. After trying pretty much every possible combination, what I realized is that the Rode Wireless Go, for whatever reason, does not look to the Macbook like the mic of a headset. I suspect it's because it's a powered microphone rather than a passive one, but who knows.
Once you realize that you need a *different* microphone connected when you when you first plug something into the headset jack, there are a couple of ways to make it work.
Way 1: (requires a passive mic)
If you have the Rode Lav Go (or any passive mic, I'd guess), you can use a splitter that splits the TRRS (tip-ring-ring-sleeve, 4 metal parts) connector into two jacks (I'll call them "halves") where you can plug headphones into one half and a mic into the other half (both of those are TRS, 3 metal parts). It's ok if you plug TRRS headphones into the headphone half, but it will not see the headset mic through that jack, so you will still need to plug a TRS mic into the mic half. Luckily, the Rode Lav Go is a passive mic with a TRS connector, so you can use it for this purpose. So instead of plugging the Lav into the Wireless Go, plug it directly into the splitter. Once the Lav and some headphones are connected to the splitter, plug the splitter into the Macbook. If you are looking at System Preferences / Sound / Input, then when you plug it in, it should switch from showing "Internal Microphone" to showing "External Microphone". This tells you immediately if it worked or not. If it worked, you can unplug the Lav from the splitter and plug it back into the Wireless Go transmitter, and plug the Wireless Go receiver into the splitter instead. Then it will work. You can leave the headphones plugged in or take them out, it doesn't matter once the computer has completed its ITAH test, which only takes a second or so.
Way 2: (requires a headset (or earpods, etc.) with a mic, like you might use with your phone)
If you only have the Rode Wireless Go (but not the Lav), then you will also need a TRRS extension cable, in addition to the headphone/mic splitter. Plug your headset into the extension cable, and plug that into the Macbook. As soon as System Preferences / Sound / Input shows that it is using the "External Microphone", you can unplug the headset from the extension cable and plug in your headphone/mic splitter with the Rode Wireless Go plugged into the mic half of the splitter. (You don't even need headphones on the other half.) Then it should work.
Way 3: (requires "a ton of new equipment" — thanks to CawdorPrincess for this method)
You could use the Rode AI-1 with the VLXR+ adaptor. Then you won't even use the headset jack, because the AI-1 connects via USB. After connecting everything, you can select the AI-1 via System Preferences / Sound / Input, or you can choose it in the drop-down list when you alt-click the speaker icon in the menu bar. (You will only see the speaker icon if you have selected "Show Volume in Menu Bar" at the bottom of the "System Preferences / Sound" preference pane.)