Short wave propagation over long distances is achieved by bouncing radio waves off the reflective layer of the Earth's ionosphere. Going to the coast won't have normally any significant effect upon reception conditions.
In some cases getting closer to a short wave transmitter can make reception worse, or even impossible. That's because you arrive at a position where you're too far away from the transmitter to receive 'straight line' signals but too close to receive signals bounced off the ionosphere. (Radio signals sent close to vertically upwards simply pass through the ionosphere. They need to be broadcast at a fairly shallow angle to get them to bounce:
http://www.globalsecu...s0002/ss0002a0006.gif )
To improve short wave reception you need to improve the aerial. If there's a socket for an external aerial, try plugging a long length of wire into it. Otherwise try connecting the wire to the telescopic aerial.
Chris