Move through the Phantom Train and stop its engine.
Walkthrough
Explore the train cars and move toward the engine. Some passengers are harmless while others start battles; speak to the service staff and use the available recovery and save opportunities. At the engine, inspect the switches and stop the train.
The Phantom Train is undead, so healing and revival items can interact with it differently from ordinary enemies. If you prefer a conventional fight, keep the group healthy and attack the boss while watching incoming status effects.
After the falls, 
Gau approaches the party on the Veldt. Do not attack him when he appears. Visit Mobliz, buy Dried Meat and offer it on a later encounter. Explore Crescent Mountain with Gau, then ride the Serpent Trench to Nikeah and take the ship toward Narshe.
Checkpoint
At Crescent Mountain, search the eastern part for the diving equipment that leads to the Serpent Trench. Taking the right branch at each trench fork reaches optional treasure before Nikeah. At Nikeah, check the inn and shops before taking the ship; the party does not yet have its own airship.