Hello Juan Antonio,
A 'must-do' is something strongly recommended for you to do under given circumstances (such as visiting a specific place of interest during a sightseeing trip, etc.) The expression is used as a noun, hence the plural in your example. You could put it in other words like this:
'You should make it a point and go shopping in the local markets.'
Please notice that there are many situations when you may want to use the verb 'do' as if it were a noun, e.g. in the fixed expression 'dos and don'ts'. You've probably seen articles entitled something like 'Dos and don'ts when travelling in tropical countries', 'Dos and don'ts of lab work' etc.
Hope the above helps.
All the best,