just follow the flame. It says something like the flame blows towards the north. it will say it at every turn.
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This is correct, but just to clarify, you need to buy matches at the Shops first so you can light the candle :)
You can manually map out the tunnels - it's an actual maze, no randomization or anything like that - and you can find some interesting things down there. But I'd advise doing the candle method first and then getting the tunnel map from the Mysterious Merchant later on.