Question: where are the unsullied going?
Answer: Grey Worm and the Unsullied sailed for the Isle of Naath. It's located in the continent of Sothoryos - the third continent in the Game of Thrones' lore - which is south of Essos and southeast of Westeros. It's where Missandei is from and where she wanted to go back to after Daenerys took back the Seven Kingdoms.