After you get a Dynamax Band, you take the train to the Wild Area.
You can talk to the worker outside of the station to heal up your pokémon.
Go north and there will be a cutscene. You will get a Pokémon Box Link. This allows you to access your Pokémon Boxes from most locations by pressing R while you are in the X menu.
The X menu also has a new Pokémon Camp option, which lets you camp out with your pokémon.
Go north to enter the Wild Area. There are many pokémon that you can encounter and catch here. Some pokémon might be too high level for you to safely battle, especially as you get farther away from the Wild Area Station.
About Pokémon Dens
Throughout the Wild Area, there are glowing red pokémon dens. You can check on them each day to get Watts, which you can use to purchase special items. If there is a beam of light shining up out of the den, you can have a Max Raid battle. Check on a den with a beam of light, and you will see a silhouette of the pokémon that you will battle. The pokémon will be Dynamaxed. You can invite other players to join you in the battle. If you defeat the pokémon before the specified number of turns, you can try to catch the pokémon. Whoever is hosting the battle has a 100% chance of capturing it, while the players they invited have a lower chance.
When you are ready to move on from the Wild Area, go up the large set of stairs to reach Motostoke.