To my understanding, after it hits the player, the person in control of the Goblin gets to decide whether it hits the player or planeswalker, but I could be way off. How would it work?
Whenever you do damage to a player outside of combat, you can decide to redirect that to one of that player's planeswalkers instead. This is explained better than I can by Wizard's cust-help:
If a source you control would deal noncombat damage to an opponent, you may have that source deal that damage to a planeswalker that opponent controls instead. This is a redirection effect: you choose whether to redirect the damage as the redirection effect is applied, and it's subject to the normal rules for ordering replacement effects. The player affected by the damage chooses the order in which to apply such effects, but the controller of the source of the damage chooses whether the damage is redirected. Note that this redirection can't be applied to combat damage.
For example, although you can't target a planeswalker with Shock, you can target your opponent with Shock, and then as Shock resolves, choose to have Shock deal its 2 damage to one of your opponent's planeswalkers. If you do, two loyalty counters are removed from that planeswalker.
You can't choose to split the damage between a player and a planeswalker. In the Shock example above, you couldn't have Shock deal 1 damage to the player and 1 damage to the planeswalker.
If a source you control would deal damage to you, you can't have that source deal that damage to one of your planeswalkers instead.
In a Two-Headed Giant game, damage that would be dealt to a player can't be redirected to a planeswalker his or her teammate controls.