Sailing into International waters from the US and back?

what is the procedure here? do i have to go through customs when leaving the country? is there any checkpoint at all? do i need to tell anyone that im leaving or where i am going? i plan to be sailing out from the savanna river to panama / jamaica. what about when i come back? do i just sail back up to the savanna? or will i get pulled over? do i have some place i am supposed to go first? and what will happen if i dont?