It's really not hard at all. Ul'dah is the central city in the world. If you started from Gridania, look at the map and follow the road south all the way down to the green triangle that's next to thanalan. Enter into thanalan and look at the map to see where to go for Ul'dah. From Ul'dah, take the road west from black brush and follow it to the port all the way next to the ocean. An important note is to STAY close to/on the road to make sure you don't miss the little cave near the port. Once on the boat, it'll take you to the heart of limsa lominsa. If you start in LL, just take these instructions and go backwards. It's a loooong run. You wont have to worry about mobs killing you as long as you stay on the road. Happy exploring!