Brighton and Hampton are good locations for Westerlies in Port Phillip Bay close to Melbourne. Westerlies are onshore so it can be a bit tricky to get out through the shorebreak if the wind is strong. If you are keen you can do a tour down to St Kilda or Port Melboiurne and back.
Further down the bay, Gnotuk Avenue and Frankston are also good locations for Westerlies.
Westerllies are fun, but check carefully that they are not too frontal - they are best avoided if big spikes are forecast.
You can find some more location information
[here]
Regards, Peter