Once you're comfortable enough with travelling around and not getting pulled by any mobs, simply get on a mount and follow the roads. I started this when I was at the lvl 19 wall to progress through the story.
You don't need every soul pyre and teleport, but aim for all of them for future uses and gather any chests you see; the extra bag space is a life saver.
The hardest area I found to avoid the mobs were in the Timeless Jungle area, mainly because I was lagging but it was still do-able.