I'd recommend your own veranda (if you're lucky enough to have one -- we weren't, but it certainly didn't ruin our trip!), or the far aft deck. Of course, from either of these locations, you won't see the characters or hear the music.
The sail away party itself was sooooo overcrowded that we didn't enjoy it at all, and we left. The only other thing we didn't enjoy was the Tropical Deck Party on Nassau night -- same reason: too many people, too little space.
I would like to see SEVERAL sail away parties held simultaneously onboard. One by each pool, for example. It'd divide the huge crowd into more managable numbers.