In order to teleport you need to have a teleport crystal. These are light green/blue in color and can be bought from a store for 300 coins. Once you have a crystal you can go to a save point and interact with it. Rather than clicking save you want to click on teleport. This will display a world map and allow you to teleport to any location in the game. If you dont have a crystal, then you cannot teleport. So make sure you have one in your inventory before you go to an area that you think you might need to make a run for it.
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