If they counter my Goblin Grenade, do I still lose my goblin?
Yes. This is pretty obvious if you remember that, like the card says, sacrificing the goblin is an additional cost. It's like paying mana for a spell - and you don't get mana back if someone counters one of your spells.

If you want to read the comp rules, casting spells is section 601.1. Paying the cost for a spell is 601.2g; the spell becomes cast after that in 601.2h. At that point, it's on the stack and your opponent has a chance to counter it. When they do, the costs are already paid (your goblin is dead and your mana is spent).