As the GM, it's your job to keep your thumb on the pulse of the game. There's a time for roleplaying, and there's a time to just roll dice and move on.
If it's time to move on, well....just move on. Don't give the roleplayer anything to roleplay to.
GM: OK, we're in town, you guys spend the night. Tick off a few coins for the inn. Now, it's morning, and that town is just a memory. You're long down the road when...
Roleplayer: Wait a minute! That night, when everybody is asleep, I awake and leave the inn.
GM: What is it that you are trying to do?
Roleplayer: I'm going to talk to the gate guard.
GM: Well, it doesn't take long. You find him, and he's uncooperative.
Roleplayer: "Well, sir! It's is a fine night."
GM: Like I said, he doesn't say much. You try for about 10 minutes, but he says nothing of interest.
Just don't give the roleplayer anywhere to go. He'll get the hint.
Or....
GM: OK, we're in town, you guys spend the night. Tick off a few coins for the inn. Now, it's morning, and that town is just a memory. You're long down the road when...
Roleplayer: Wait a minute! That night, when everybody is asleep, I awake and leave the inn.
GM: What is it that you are trying to do?
Roleplayer: I'm going to talk to the gate guard.
GM: Well, it doesn't take long. You find him, and he's uncooperative.
Roleplayer: "Well, sir! It's is a find night."
GM: OK, roll Gather Information. You got an 18? You're pretty confident that this guy doesn't know anything of value.
Dice the situation and move on.
Or....
GM: OK, we're in town, you guys spend the night. Tick off a few coins for the inn. Now, it's morning, and that town is just a memory. You're long down the road when...
Roleplayer: Wait a minute! That night, when everybody is asleep, I awake and leave the inn.
GM: What is it that you are trying to do?
Roleplayer: I'm going to talk to the gate guard.
GM: Well, it doesn't take long. You find him, and he's uncooperative.
Roleplayer: "Well, sir! It's is a fine night."
GM: You irritate the guard, who only wants to sleep. The guards surround you, and when the party wakes in the morning, you've spent the night in lock-up. Your character is fatigued for the day, and it costs the party X amount of gold pieces to pay your bail. Now, the party is way down the road. It's the next morning, and everybody's had a good laugh about it.
Penalize the roleplayer lightly, if it seems appropriate. Let him deal with a consequence.
Or...
GM: OK, we're in town, you guys spend the night. Tick off a few coins for the inn. Now, it's morning, and that town is just a memory. You're long down the road when...
Roleplayer: Wait a minute! That night, when everybody is asleep, I awake and leave the inn.
GM: You've had a long day, on the trail. You may not wake up like you want. What's your CON? 14? OK, roll d20 for 14 or less. If you fail, you slept like a baby till the sun came up.
Here, you've headed him off at the pass. Think of something logical that puts a wrench in his attempt, then move the game to where you need it to be.
There are lots of ways to keep a game moving.
NOTE: Sometimes, players are time hogs. They like to keep the spotlight on themselves as much as possible, at the expense of the other players.
One technique that I would use, especially when running big groups where a single player went off in a different direction, away from the party, or otherwise did something that would bog the game down, was to MAKE HIM WAIT, NOT THE OTHERS.
Upon entering a town, if the roleplayer goes off to do some roleplaying, and I don't think that's a good thing at that moment, I'll say, "Fine, you go off to do that. We'll come back to you to see what happened. For now, with the rest of the party...."
This way, you haven't said "No" to his roleplay attempt, but the dude isn't being rewarded for bogging the game down either.
Chances are he'll stick more with the party if, after a couple of times having to wait in order to go roleplay his scene. Because: Waiting ain't fun, and the spotlight ain't on him.
Just some ideas.