It's all about GFCI discipline. Since you want to use downline protection for the GFCI, you have to be extremely fastidious about Line vs Load. So...
There are 2 ways to go. Pick one.
DO protect the lamp with GFCI (meaning it goes out when GFCI trips)
The incoming always-hot wires from the service panel get attached only to the GFCI "Line" terminals. They are the only wires that are attached to "Line". Nothing is pigtailed to those supply wires, either.
All other hot/neutral wires are attached or pigtailed to the "Load" terminals.
That means, to power the lamp, we have to double back to the lamp with both switched-hot and neutral. We can't power the lamp from the neutral that is "passing through" because, that would be "pigtailing to it" and that's a no-no.
Further, you must identify this "special, GFCI protected neutral" so it can be distinguished from the supply neutral running through the same conduit.
DO NOT protect the lamp with GFCI (stays on when GFCI trips)
The incoming always-hot black & white wires from the service panel get attached to GFCI "Line" terminals. However:
The hot and neutral wires going onward to the other receptacles are attached to the GFCI "Load" terminals, and they are not pigtailed, and nothing else is attached to the "Load" terminals.
All other hot/neutral wires (all of which will be associated with the lamp or switch) are attached to the "Line" terminals. Note that Line terminals can accept 2 wires per screw (read the instructions for how).
In this case, the lamp can tap the netural which is "passing through".
GFCIs and switches inside the same junction boxes are rather confusing. It can help to put the GFCI in a different junction box than the light switch.
You're using a basic 99 cent "Handy-Box" to install the GFCI into. I have successfully crammed GFCIs into those, but it took all my skill - those boxes are very claustrophobic for a bulky GFCI. I vastly prefer using a 4x4 box with corner screws, with either a 1-gang domed cover or a 1-gang mud ring depending on whether a wall finish is going up. This gives lots of elbow room for a single GFCI device.
I prefer to use special colors for GFCI protected hot and neutral, e.g. blue and gray (gray being a legal neutral color). Lacking a variety of wire colors, feel free to use colored tape. (home stores have a 5-spool rainbow pack for $5). Since your wires are individual wires in conduit, colored tape on neutrals does not have the effect of declaring it to be a "hot" wire, and you are free to use the tape for circuit identification (in fact, you're required to).
EMT metal conduit serves as a valid grounding path. There is no need for ground wires; that is "belt and suspenders". I only do it if I expect physical damage to the EMT. However, if you do run ground wires, they must go to the metal box FIRST -- do not bypass the box and take the grounds to the devices like you would in plastic/Romex work. The good news is, devices will "pick up ground" in most cases:
- Switches will automagically pick up ground via their mounting screws.
- Receptacles which are marked "self-grounding" (including the GFCI) will do the same thing. (because grounding a receptacle is a bit harder since that ground goes to devices).
- Receptacles NOT marked "self-grounding" will pick up ground via hard flush metal-metal contact with the domed cover or mud ring. (however if they "float" above the mud ring on their drywall ears, then no; you must pigtail a ground wire off the box).