To Woodbury Common there are several coach options from the PA Bus Terminal on 42nd and 8th or who collect from hotels bus options It takes about an hour or so according to some of the websites.

There is a train option as well via Harriman station the West of Hudson line but its a little more complicated that the coach.

Personally I'd only go there if you felt that the stores in NYC weren't meeting your needs. Don't forget that you can get a 10% discount card in Macy's by showing your passport at the visitors centre.