Take the southeast entrance out of Gridania.
Follow the road south. Keep going.
You will eventually zone into the "sandy/rocky" area which is part of the Ul'dah region.
Keep following that road (it will go sort of south and west).
You'll eventually arrive north of Ul'dah (can see Ul'dah to the south).
Keep following the road west. If you look all the way west of your map, you can see the Ferry docks.
So yeah, go to the Ferry docks and take the boat to LL.