I would say either "Keumgang halgo-eh-yo, sabumnim" or "Keumgang sabumnim". The first one means "I'll do Keumgang, honourable master", the second one just means "Keumgang, honourable master".
You shouldn't refer to yourself as Sabumnim, only Sabum, but adding -nim makes it more polite when talking to someone else.
However, this is quite normal internationally; to be asked the question in English, reply with the name of a poomsae (which happens to be Korean) in an English reply, and then be given a Korean command to start. So don't worry too much about it.