Yeah! And check your map as you go--visit every camp that's on the way, because if you do, you'll be able to teleport there later (that's what the Aethyrite crystals do, among other things), you just interact with it once and it'll say "you've arrived at [location]." (You don't have to do this in your home city).
When you get to the other city, don't forget to visit its crystal too!
Oh, and while you're running, you can see the red dots on your map that are monsters--a lot of them don't attack unless you hit them first, but when you're running through the desert area outside Ul'dah there are some giant ant-things that are aggressive, so watch for them and steer clear.