Dell Powerconnect 62xx VLAN traffic to specific gateway

Hi folks,
I'm having an issue and even after read several posts here my head continues a mess.
The situation is as follow:
I have several VLAN's created on our Dell switch's and the same VLAN's are created too in our NGFW.1).
The problem is, if I try to reach another VLAN network all traffic goes to the gateway first but if the traffic is in the same network (eg: source ip: 10.0.3.11  and destination ip: 10.0.3.12) the traffic don't go to the NGFW.
Our objective is to ensure that all traffic even in the same network passes from our NGFW for packets deep inspection.
Can someone explain me better how can I do it?
Thanks