Military HQ is a devil-run territory, so be careful or be prepared to overcome devil damage reduction if you ever get into a fight.
Take the train from Military HQ to E. Iduoy Capital and meet the Masked Stranger there.
It is a 10-hour walking distance between Dock Harbor and M-Ville. Make sure you are well prepared for food and places to sleep. Also beware orcs and demons who reside in the Trail unless they pose no threat.
Meet the Masked Stranger at Dystopia’s Train Station. Make sure you are able to obtain a Train Ticket. The Masked Stranger will not allow you to depart until the whole group has met up.