Walking is slow on purpose. Horses are the answer: find a wild one, stand near it and press E to tame it, again to ride. A tamed horse is yours and stays where you leave it. N asks it to follow you, or to wait.
Rest at an inn to make somewhere your home, and the coach will carry you back to it for a fare. Dying takes you home too, which is a better reason to have one than the bed is. There are two inns: the one on the village square, and the Three Roads out west.
J opens the map. It shows where you have been.