Yes, go west, young man (woman), go west.
There are many entrances and levels, and for a first-timer, it may be difficult to get oriented.
Perhaps the easiest way to do so would be to go to the main hall, the one that basically is about the size of a city block, and has the beautiful vaulted ceiling. (Stop for a minute to admire the ceiling!) There is an info stand in the middle. The entrance to some of the tracks is to your north, and a long row of ticket counters is to your south. Go past the ticket counters and then up to street level, which will be 42nd Street.
(By the way, the show is a Broadway show, isn't it, and not off-Broadway? Off-Broadway shows can be scattered around Manhattan. Why not have DD pick up a cheap map just in case?)