There's two ways I like to go about it:
(A) The Long Way
Envision your character leaving the place they were in and the steps they take to get to the Valley. You don't have to do role-play or even big scenes, just go step by step the same way that I person would recall a trip. This is not my favorite way to do it, but it helps some players to have the chronological series of events. That leads to them ending up in the Valley.
(B) The Short Way
Or you could also just... start right at the Valley. As a fiction author, I'm a big fan of just skipping to the fun part. Most of my actual-play sessions of Iron Valley have started with my character literally getting off a Taxi/Bus and finding themselves in the town. Anything that happened before that we need to come up with can usually be communicated in the form of brief flashbacks.
Bonus tip(s)!
Remember that as part of character creation you have a series of truths that define why your character is in the Valley and where they are staying! These starting promises are a great way to direct your first days of play since your character is getting their bearings around town. Also, remember that this game is about the journey, the act of discovery, and seeing what happens--and as long as you are having fun then you are playing it right.
Hope this helps 💚