I took a photo of the well signed store (how could I have missed it) so anyone else trying to locate it knows what to spot. This red sign is what to look for when you come out of the East Exit of Shinjuku station.
Okadaya is in two buildings - each of about 6 levels. One building contains fabric of all descriptions, the other contains all the extra bits you need to sew, knit, bead, and craft your little heart out with.
My favourite floor was the craft book floor (right at the top). I think it had the best craft book selection I'd seen anywhere, with multiple copies of each book. Sadly, there was a "no photos" sign up so I can't show you the proof.
For the knitters there was also a whole yarn floor.