Team Returner is on Terra's flaming trail, and it's led them to fresh territory for the group. She was last seen heading across the mountain ranges to the south and the east; follow her and you'll discover the town of Jidoor. Terra's not here, that's obvious, but it's a good stopping point before her actual destination.
The path to Jidoor is fairly long, and the enemies get a bit stronger about halfway between Kohlingen and Jidoor (and thus better for levelling). Hoofing it is perfectly reasonable, despite the distance, though if you want to avoid fights you can rent a chocobo from the hidden Chocobo Stable north of Kohlingen, in a forest near the house at the tip of the continent.
Jidoor has a fair amount to see. Have a look around before you move on to the northeast in pursuit of Terra.
The Stable is situated a short distance from the entrance. Rentals are 250 gil.
The usual goods. Grabbing a few Hi-Potions can't hurt.
Jidoor's Armor Shop is full of new gear you'll probably want to buy before you proceed. Your tab is going to be costly, so unless you've been saving up you'll want to purchase items for your active party only.
Like the Armor Shop, the Weapon Shop is full of new equipment. Save at least 5,000 to 6,000 gil to grab the unique weapons in here.
The rooms are 250 gil a night. Unfortunately, there are no free beds to be found in Jidoor. You'll have to hand over the cash to get a night's rest.
Jidoor's Relic Shop has most of the same wares you come to expect from these places. Earrings are a good purchase, though you don't need more than the ones you've likely already found just yet. (Keep this shop in mind for when more characters can use magic. The time is coming.)
At this point in Final Fantasy VI the Auction House is not operating, and you can only talk to the people inside. Later in the game you'll be able to come here and bid on random items that go up for sale. Some of it is time-wasting junk, but occasionally you'll come across an item that's truly worth the money. Return here prior to the game's halfway point for some interesting deals.
The large mansion in the north of Jidoor is the town's most auspicious location, and, ultimately, its most important - but not just yet. You can peruse the art gallery and talk to the caretaker near the bed, but Owzer's Mansion is largely useless at the moment. Check the pot near the caretaker for an Ether and you're pretty much done with the house.
Jidoor as a whole will shortly become more important to the plot, and past the halfway point you'll be revisiting the town again to engage in an optional side quest. For now, depart from Jidoor and make your way northwest, along the coastline. If you've been talking to people you'll have heard the name Zozo a few times, and this is your next destination.