As we tell students hundreds (perhaps thousands) of times a year on this forum, if you are constructing a sentence it's "How do you say XXX?" We use "how to say XXX" in a statement, not a question.
How do you say 'queso' in English? (This means "What's the translation of ...?")
How do you say 'borough' in English? (This means "How do you pronounce ...?")
I want to know how to say 'queso' in English. (This is the statement version.)
Please tell me how to say 'borough' in English. (This is the statement version.)