Me, I usually go with the flow. Try to get a sense of what's going on. Tell you what: I know a guy who helps me get sorted out sometimes. On that site I posted the link to, Logamation, he's called DarkGod. If you want, I'll ask him for some ideas to give you.
As for my adivce: if you're ready to advance the story into the Underworld, then go for it.