I will try to explain this as clearly as possible, and I am basing this on every show I have been to at MSG regardless of artist.
Here is the image I will refer to:
The band will arrive for the show (and most definitely the soundcheck) on 33rd street travelling westbound. this is the north side of the Garden. They will go down a ramp between the squarish looking building and the round arena. There is a big garage door on the northeast side of the arena off of this ramp where all the gear gets loaded in and the band arrives to. There will be at least one or two Upstaging trucks parked there (the big white trailers with red trucks.)
The band has arrived for the past two tours in "OL Music" black Lincoln Navigators. When they arrive for the show (I do not know about soundcheck) they usually arrive right before the opening band goes on and they arrive in their own Navigator (Bono in one, the Edge in another...) From my experience, they typically do not stop before the show on the way into the arena, but they do lower the window to wave at the fans. They do not arrive with a police escort, but they do leave with one. They are very inconspicuous when they arrive - just like any other black truck on the street, but the windows are heavily tinted and the license plates always say "OLMUSIC." The garage door is typically down, but when they hit 33rd street it goes up. That is how you will know they have arrived, and they are usually moving at a pretty good speed into the arena, because the security is already waiting for them, and they do not want fans outside the arena to hold them up before the show.
I would say that if you can determine the time of the soundcheck (from other upcoming shows before the MSG gigs) you should wait at that security gate at that time. You will go to where it says the "123" subway lines on the above image on the south side of 33rd street, but there is a security fence, so you cannot get very far in.
To enter for GA, you will enter the building off of 7th avenue, and go under the rectangular building going west towards the arena. You will see the lines.
Good luck - I am sure you will see them arrive, whether they stop or not, that is a different story - I am not sure they do the glad-hand thing in NYC.