O'Neal, 44, stepped out for the New York City Ballet's 24th annual Dance with the Dancers gala. The event, sponsored by Ferragamo and Elle magazine, called for guests to follow an ancient Roman-themed dress code and included dancing with the ballet company's dancers.
"This is certainly different from Dancing with the Stars," O'Neal told Fashion Week Daily's Jim Shi. "But if you're going to walk on thin ice, you might as well dance!"
After she was arrested near her Lower Manhattan apartment, the Paper Moon Oscar winner thanked the police for stopping her from making a mistake, and declared: "I'm still sober!"
"Just when I was about to change that and wreck my life, the cops came and saved me."
O'Neal, the daughter of Ryan O'Neal and former wife of John McEnroe, chronicled her struggles with addiction in her 2004 memoir A Paper Life. She completed rehab in 1996.