Alright so if you are in a party (especially if it's Cross World) you would use the Party channel to speak specifically to everyone in the party at that time. You can select the channel manually or use /p then your message straight after and it will go to the Party.

If you wanted to chat with Free Company members, you would use the FC channel for that. Say is essentially is for the vicinity around you so anyone nearby will see the message. Shout anyone in the area will receive the message regardless if you are in a party with them or not. There is Yell as well but can't remember what makes that different to Shout.