First step is to head to Henesys and talk to Spinel - World Tour Guide. She's located on the left side of the town.
Travel to Mushroom shrine (You must travel to mushroom shrine from Henesys for this to work) and head to the right until you get to Showa Town. Talk to Hikari and ask to enter the bath house. Once inside buy a bunch of strawberry milks, for traveling back to mushroom shrine.
Now travel back left to mushroom shrine again and talk to Spinel again to travel back to Henesys. Once there you can use the quick move feature at the bottom of the map to go to six path crossways and on to the Pantheon Portal.
It's that simple :) Now, anytime you need to get somewhere far away, you simply have to return to the nearest town and teleport to Momijigaoka, then use the strawberry milk to get to mushroom shrine, then to Henesys and to ANYWHERE!