Starting to hate this game. The same old, complete a mission, and if you want to finish it, walk for 20 minutes back to the original spot. Or do other missions and forget completely about the original one, and get lost in what you're doing. When you're not running, its ok.
If you start a mission, say go to X cave and get X item, at the end of the cave, you will find a passage that leads you back to the beginning of the cave without having to travel back through the whole thing. Just look around in the last room and you'll find a gate or a hidden wall or something.
Once you're outside, fast travel (teleport) to the location of where you got the quest by clicking on the area in your map.
The only real walking in the game is exploring new locations (part of what makes the series) and you can always buy a horse to go faster.