After thwarting Kefka's attempt to burn Figaro, you leave to talk to Banon in the Returners' hideout.
Go to the Cave
Ride the Chocobo straight ahead, and when you get to the ocean, go to the left to find a cave. Press B to dismount, then go into the cave.
Note: Hornet, Bleary, and Crawly will no longer appear in this cave later on, so fight them now if you want to collect everything in the game.
At the cave entrance, talk to the guard, then go into the cave. Go north. You will automatically go up and use the recovery spring. Go to the right and go through the door there.
Go south until you reach a crossroads, then go east. Follow the path, then go up the first set of stairs to the left. Follow the path and you will exit the cave.
While outside, you can save your game from the menu.
Go east from the cave until you see a small house to the north. Go into the house and there will be a cutscene. Check on the bucket to get an item. Then, check at least one of the following: the flowers, the stove, or the cupboard. You can sleep in any bed.
When you're ready, go outside. There will be a brief cutscene after you try to leave. Go outside and talk to the guy to learn Sabin's whereabouts. Your next destination is to go to the mountains to look for Sabin.