Lost comm -- what would you do?

A student and I took off today IFR from HPN. Destination was FWN (Sussex,
NJ). Rhumb line course is 42 NM at 294 degrees.

Clearance was "Westchester 1, RV CMK, CMK 275R to intercept SAX 039R, SAX,
direct FWN, maintain 3000, expect 4000 after 10 minutes".

Departing runway 34, the SID is "climb to 1000, then left turn 295, expect
vectors to departure fix". CMK is 14 miles at 037.

We depart, check in with NY Approach, and get "maintain 4000". Nothing
about heading, so we stay on the SID heading of 295, which conveniently is
pointing us right at our destination.

Here's the question. If you went lost comm, what would you do?
Technically, our next waypoint is still CMK, so "fly the route previously
cleared" would have us head direct CMK then as cleared. But, every mile we
fly on 295 takes us further and further away from CMK, and making a, say,
150 degree, course change to head back to CMK seems pretty dumb. Yet, they
wouldn't have given us such a circuitous route if there wasn't some good
reason they needed to keep us away from the rhumbline.

The route is off-airways, but you note that the VOR-A
(http://204.108.4.16/d-tpp/0511/05412VGA.PDF) MSA is 3100. Assume you're
familiar with the area, and know that 4000 clears all terrain that might
possibly be a factor along any route you might pick.

So, what would you do? Turn back to CMK and proceed from there? Keep on
the 295 heading until you intercept the CMK 275 or the SAX 039, whichever
comes first (assuming that heading even intercepts those at all). Turn
direct SAX? Hit the reset button and start the scenario again?