Ten Candles

Glad everyone had fun! I think you are right about introducing "Them" a bit sooner. If their current location is clearly unsafe, then the city would start looking like a better option.

I think the fantasy setting gives you some added challenges as well. Most of the scenarios the genre comes with are modern-ish setting, and I think that helps set the stakes for players without having to mention it. A window breaking nearby is scary because you know what it would be like if it happened to you and you know the fear of stepping on glass, but describing a whole village burning down in Mörk Borg is less scary because it's so far removed from daily life. For your story, you just need to do some extra legwork to make the threats more personal.

I can't help with Baby Yoda Basilisks though. :)