First I'd want to know why it's hyphenated. Most names are not hyphenated, and there seems to be no reason not to call it: Far Off (capitalized of courses)
If you insist in hyphenation, it's really just a question of style between Far-Off and Far-off. In other words it's up to you.
But I repeat that if it's a name (place name) the most likely form is: Far Off
"He lives in Far Off."
"We are not wholly bad or good, who live our lives under Milk Wood"
prayer of the Reverend Eli Jenkins in Under Milk Wood by Dylan Thomas