I did the same thing as you (pick up Gonzo in anticipation of Mesa losing his job). I'm still holding onto Gonzo and probably would if I were in your position too. I continue to believe he's just too good not to be closing somewhere. I also think Mesa is a bomb waiting to go off. It's still early in the season, so I'm not gonna give up on Gonzo yet. In the meantime, he'll post some great Ks and ratios.
Urbina is probably the best bet of that bunch, but he's not a closer as of yet and probably won't be unless he's traded or something happens to Percival.
Street is the hot name at the moment. He's clearly the team's choice for closer of the future, but he's young and unproven. I'd be surprised if he's still available in your league unless it's very shallow.
I am the Master. Don't question the Master. Just do what he says and be proud.