Sylverant and Tethe'alla are swamped with pilgrims. They can be found in every House of Salvation and every House of Guidance, as well as Hima, Palmacosta and Luin, amongst many other places. It's also possible to escort them and use them as a means of fast travel between Palmacosta and Hakonesia Peak.
Heck, if I recall correctly even Nova's Caravan is visited by a pilgrim from time to time.
What I want to know though, is where they are travelling to.
It can't be the Tower of Salvation for its base is crawling with monsters. Nobody can get even remotely close to it. If even the main cast had to use aerial transportation to reach it no pilgrim will have been able to make it and their pilgrimages don't strike me as the personal crusades against the monsters guarding the base of the Tower.
Hakonesia and the Houses have always been places of rest for the weary travellers (some voluntarily, some not, damn you Koton). They have never been the final destination.
One could argue that it is not so much the destination which counts when going on a pilgrimage, but the journey taken to get there. Still, I would like to know if a destination has ever been mentioned, and if not (or you simply don't know), what you think would be a suitable one.