Appearantly, they're going to Indianapolis..
New Orleans Saints would go to Indianapolis if evacuation is called for - New Orleans Saints Beat - Times-Picayune - NOLA.com

New Orleans Saints would go to Indianapolis if evacuation is called for
Posted by Mike Triplett, The Times-Picayune August 28, 2008 12:24PM

The Saints will evacuate to Indianapolis this weekend and spend the entire week there if Tropical Storm Gustav maintains its current course...