[Pharmboy]

Well, Coeccles Harbor on Shelter Island and the Sound at Southold. I would occasionally see a few together on a rock, but they seemed mostly solitary fishers. This was about ten years ago.

[Roccus]

Since you're on the East end, try Gardiners, Plum, Gull and Little Gull islands. Actually, any old jetty or rock outcropping that is cut off from human access. In the late afternoon you will see them drying their wings in the sun.
I fished those waters for 50+yrs. and know they're there.
In small lakes and ponds, where the supply of fish is limited, a single bird can be devastating