I think I would recommend continuing on to Atlantic Highlands, NJ, where you can catch a ferry to Manhattan's lower east side (near Wall Street). From there, I would go south, around the bottom tip of Manhattan, to meet up with the Hudson River Greenway going north on the West Side of Manhattan (the East Side Greenway still has some gaps). Get a bike map from www.nyc.gov/bikes
for specifics, but, in general, you would continue up the Greenway, go under the GW Bridge, exit at Dyckman Street, continue north on Seaman Ave, jig right to Broadway and over the Broadway Bridge to get into the Bronx, and then get to Van Cortland Park at 241st street, where you can enter and pick up Greenways that will take you east and north to Pelham. Here's a link to a route from Manhattan to Larchmont that i posted on MapMyRide: http://www.mapmyride.com/routes/view/51169072
After Larchmont, I'm afraid you're on your own -- I haven't gone further! But you might take a look at Google Maps bicycle routing directions (beta) to get some ideas.