GO is not part of SQL, that is something special Sql Server Management Studio (and some other Microsoft utilities) uses, it marks the seperation of "batches". Every GO would translate in to a ExecuteXXXXQuery action in C#.
I am assuming your code is more than what you posted so lets say your original query was
select * into #t from foo
use [someOtherDatabase]
GO
insert into foo select * from #t
What this would be come in C# is
using(var cmd = SqlCommand("", connectionString))
{
cmd.CommandText = @"select * into #t from foo
use [someOtherDatabase]";
cmd.ExecuteNonQuery();
cmd.CommandText = "insert into foo select * from #t";
cmd.ExecuteNonQuery();
}