That's what we want to know.

Is é an rud seo a bhfuil maith linn a....

Sin é díreach an rud a bhí sinn a iarraidh a fhios faoi.

Of course there is more than one way to say it correctly.
Sin é go díreach atá muid ag iarraidh a fháil amach.

EDIT: sorry I changed the tense to past tense.

Go raibh maith agat.

Sin é an rud gur mhaith linn (é) a fháil amach. is what I'd say.

What I am wondering is - is it not possible to put at the end of this question the phrase - atá a fhios againn ? apparently not

"atá a fhios againn" means "...that we know"

_________________
Is fearr Gaeilg na Gaeltaċta ná Gaeilg ar biṫ eile
Agus is í Gaeilg Ġaoṫ Doḃair is binne

Here's the context -

"I wonder where's the eagle?"
And she looked to the East and she saw a speck in the sky.
God bless her eyesight.
And he saw it too.
"There's he's coming!"
And the eagle gradually grew larger
and finally landed in and pitched. (so the eagle is already on the ground, so apparently - to pitch - means to find a place to sit down or to settle down)
And she said "You're welcome.
Where were you," she said to the eagle, " when I blew the first blast?" (on her whistle)
"I was flying direct over the Castle of the King of Greece"
"And where were you when I blew when I blew the second blast?"
"I was flying over the King of Spain's Castle."
"And where were you when I blew the third blast?"
"I was exactly over Féidlim Tonn Rí's Castle," he said.
"That's what we want to know

Myself, I don't see why not - but obviously, just like English, French etc, it would have to be the "infinitive" (i.e. verbal noun).

'...an rud ar mhaith linn/a bhfuil muid ag iarraidh a fhios a bheith againn.'

I've used the indirect relative forms because of the genitive 'a fhios' - 'the knowledge of which/whose knowledge'. However, I read somewhere a while back that it's often no longer perceived as a genitive and the idiom is sometimes, in some contexts, treated almost like an ordinary verb (I don't remember the terminology). Hence: 'tá a fhios agam sin' rather than 'tá a fhios sin agam'.
And in that case it would be a direct relative:

'...an rud ba mhaith linn/ atá muid ag iarraidh a fhios a bheith againn'.

(Or 'ataimid/bhfuilimid' of course.)

As ever, open to correction.

David Webb has suggested to me, among other possibilities - Is é rud gur mhaith linn 'fhios a bheith againn. He says - you don't need "an rud" where the relative later defines it; rud is sufficient.
I must admit that I didn't know that.

"Is é rud..." is a set phrase, it wouldn't work with another noun.
And it's Munster Irish, you wouldn't have "gur" in other dialects, but "ar".

_________________
Is fearr Gaeilg na Gaeltaċta ná Gaeilg ar biṫ eile
Agus is í Gaeilg Ġaoṫ Doḃair is binne