There are restrictions on the countries to which party member can immigrate.

As party member, I don't even know this. ...

There is no such thing as party member immigration. If you choose to emigrate, you will no longer be party member. In principle, you should apply to the party organization where you belong, attach the certification materials for going abroad, and then fill out an approval form for going abroad for private reasons (stopping) party member's membership, report it to the higher party organization after approval, and leave the country after approval.

Of course, you can also leave without reporting, which is considered as voluntary resignation.