Each of the three players is responsible for one line of the puzzle. Their intention is for you to:
follow the clues to manipulate certain letters in their own names to make other words.
I choose a common drink instead of the first vitamin. (6)
This is Dennis's line. If we replace 'D' (the first letter of his name which is also a vitamin) with 'T' (a soundalike of 'tea', a common drink) we get TENNIS.
I choose the sound of a pirate instead of energy and adds an alien at the end. (6)
This is Jack's line. If we replace his 'J' (for Joule, the unit of energy) with 'R' (as in 'AAAARRR!' - a pirate's cry), and add 'ET' (an alien, i.e. Extra-Terrestrial) to the end, JACK becomes RACKET.
I choose a common drink which takes the lead and make a small change to make it masculine at the end. (5)
This is Abel's line. If we add a 'T' ('tea') to the front and switch the last two letters to make 'le', the French masculine pronoun (although, notably, 'el' is itself the Spanish masculine pronoun), ABEL becomes TABLE.
If we then list these words in the same order as their names were originally presented...
'Abel Dennis Jack' becomes TABLE TENNIS RACKET, which is something that - as per the title - you can hold and then use to play a game ("let's go!").