The newly-freed captives seem to want to head back to the road, and then go back to more familiar surroundings. But Wally isn't going that way at all. So, soon enough, the former captives decide to part company with you, thanking you abundantly and quite profusely for all your help, with promises of the hands of sisters or daughters, or, in one case, a homely spinster great-aunt (with a reputation for being the best cook in the "holler"), if you ever decide you need brides. Their adieus fondly bid, they part ways with the constables, and Wally breathes an audible sigh of relief. Wally leads you for a few more miles, and then he finds a ravine he had been looking for. Taking you down into the ravine, he finds a cave at the back and enters. As soon as he is once again underground, Wally's entire aspect takes on a more comfortable air.
Spot checks, please. Or, Knowledge (Dungeoneering) checks would actually be more appropriate if you have it.
[DM Bonus time: After all of this following Wally around through sewers, caves, dungeons, etc., everyone can go ahead and give themselves one rank in Knowledge (Dungeoneering), or one additional rank if you already have the skill. And, you're welcome.]
My Bad: There are ample offers of sons and brothers for you, too, Miss Amalthea Varangiar.