Orvis Sandanona Shooting Grounds. The oldest licensed shooting preserve in the United States, Sandanona has a refined main lodge that dates back to the administration of Thomas Jefferson. Now owned by Orvis, the property was renovated and expanded to include a dining room in 2013. After testing your skills on the world-class sporting clays course, retire to a leather club chair in front of the fire in a manner befitting a country squire. 3047 Sharon Turnpike, Millbrook, NY, 12545. 845/677–9701. www.orvis.com/sandanona.