Upon arriving back, speak with the guard from before. Some more scenes will happen, setting your next destination as the Molten Cave, the northern cave on the island.
Before going, make sure you have Ice Armor and Ice Helms (and Shields, if you don’t dual wield) for your Warriors, Freelancers, Red Mages, and Thieves. You’ll want the fire resistance, trust me. You’ll also want to bring a truckload of Potions because this next dungeon also has passive damage inflicted on you in the field.
Go north in the overworld to reach the cave. (Remember the cave we couldn’t access before?)