Stay Ahead of the Crowd
Volunteering to ride out of town on a rail on Ride out of Town on a Rail Day seems like a good thing to do, if you were going to be ridden out anyway. It takes a little of the wind out of the sails of those who wanted to force you into the situation.
If you prepare yourself properly, it might not be that bad of a ride.
For those who haven't seen O Brother, Where Art Thou? (which is probably the only place you've seen someone ridden out on a rail before today), this act is quite literally what it says.
You sit on a rail - a long piece of wood - while two other people hoist it up onto their shoulders. They then parade you around and eventually out of town. The purpose is to show the townsfolk that you are a bad dude and don't belong in the town anymore.
Try to avoid the tar and feathers that sometimes goes along with this.
If you live in a larger town or city, I suggest starting near the edge of town and heading toward the town/city limits. This assumes your carriers will cooperate.
Once you're out of town, I think it's okay to go anywhere you want, since you asked for this yourself in the first place. It might be wise to check the demeanor of those around you though.