Major Notice. Please read before continuing.
You need to save the Lanayru Desert portion of the Song of the Hero for last. If you do get the song piece there first and speak with Golo the Goron in the Lanayru Caves twice, you are completely and utterly unable to complete the game, due to a game-breaking glitch.
As such, I’d prefer that you go finish up the Faron Woods and Eldin Volcano portions of the Song of Heroes before beginning to go further.
Upon arriving, land at the “Lanayru Mine Entry” Bird Statue.
Once you land, Clawshot onto the ledge above and go speak with Golo the Goron. Before doing so, please, once again, read the boxed notice above here. Anyhow, once your speak with him, you’ll get ten times your donation to his project from earlier. You’ll also learn that the Thunder Dragon resides in the area past the tunnel he discovered. Go along the path to the tunnel entrance, then Clawshot across the gap and into the caves we go!