Shrines are the fast-travel network, and opening them is the single most useful thing to do early. Four sit on the explored map so far, at Windy Peak, in Bamboo Grove, down at Mistfall Harbor, and in the southern basin, each one a point you can warp to once it is unlocked. Shrine Messenger Akio handles the unlocks, and each is paid for in Wen.
The order that helps most follows where the time already goes. Take the Windy Peak shrine first, since the peak is the hub the early quests circle around; add the Bamboo Grove shrine to cut the run east, and the Mistfall shrine to open the south. With those live, most of the explored map is a short hop away, and the southern shrine closes the loop toward the volcanic ground at the bottom of the map.
Open the Slayers 2 interactive map to see it with every other filter, or pick another from the list.