The Canis Major dwarf galaxy is about 8 kpc from the Sun, but is only 8 degrees below the Galactic plane (and further out than the Sun). So it is about 42,000 light years from the Galactic centre and about 1150 light years below the plane.
This almost within the disc of the Galaxy itself. The Galactic disc has a density that varies pseudo-exponentially in both radial distance from the centre and with height above the plane:
$$ n \propto \exp(-r/R_0)\exp(-z/Z_0),$$
where $R_0$ and $Z_0$ are appropriate numbers for the radial scale length and the height scale length respectively, and $r$ and $z$ are the radial and vertical coordinates with respect to the Galactic centre.
In this coordinate system, the position of the Sun is about $r=25,000$ light years and $z \sim 0$ light years. The appropriate numbers for the scale-lengths/heights are $R_0 \sim 10,000$ light years and $Z_0 \sim 1000$ light years.
The density of stars in the solar neighbourhood is about 0.1 pc$^{-3}$ or about $3\times 10^{-3}$ stars per cubic light year. We can now scale this number according to the equation above, to work out the approximate density in the vicinity of the Canis Major dwarf galaxy, which will be loer than the solar neighbourhood.
$$ \frac{n_{\rm CM}}{n_{\rm Sun}} \simeq \exp[(r_{\rm Sun} - r_{\rm CM})/R_0]\exp[(z_{\rm Sun}-z_{\rm CM})/Z_0],$$
from which we get $n_{\rm CM} \simeq 0.06 n_{\rm Sun} = 2\times 10^{-4}$ stars per cubic light year.
To work out the average distance between stars we take the reciprocal of the cube root,
$$n_{\rm CM}^{-1/3} = 18\ {\rm light\ years}.$$
So, if you have a range of 500 light years per "jump" you have no problem skipping all the way to the Canis Major dwarf galaxy.
