What GoDaddy needs is the IP address of wpengine's name servers, not your site specifically. Once you do that, it can take up to 72 hours for the change to propagate around the internet so you might not have access immediately. I always do this step first before I even start working on the site.
When you signed up with wpengine they should have told you what their DNS server IP addresses are. If you don't have that you'll have to check with their support to see what they are.