Welcome to JA!
How quickly do you need to make it from Penn to the Gershwin theater?
Depending on the weather, my first choice would be to walk. If you don't often go to New York, it could be fun to walk up 7th Avenue through Times Square. Depending on where you go out of Penn, you'll either be near 7th or 8th Ave. Walk north (the streets will be going up). You'll be starting at 34th St, and going to 53rd St., and it is almost exactly a one mile walk.
If the weather is bad, or you don't feel like walking, I'd recommend taking the Subway. It will be a lot less expensive than a cab. In Penn Station there are signs for the Subway. You should take the E train north (towards Queens). Take it 3 stops to the "7th Avenue" station. When you go outside, you'll actually be right at 7th and 53rd.
NY Subway map: http://www.mta.info/nyct/maps/submap.htm
Let me know if you have any questions. If not, thanks for pressing "Accept".