Romeo skips to the door and quickly bundles up in his coat and hat before they leave! They don't actually need to go outside here though, they need to go to Elfnein's shrine on the Near Shore.

"Ready! Are we going to your shrine or did they put a house on the prayer?"

Romeo can teleport on his own between the temple and the shrine but if they want to go more specific he will have to hold Elfnein's hand.