Part of the joy of gaming, for me, is discovery. That being said I felt the same way when I first started playing. I would go on a search for the new location and get sidetracked with other missions or die from battling some of the newer random enemies. I ended up spending a half hour or hour one night just clicking through finding the various areas that connected with each other. The better you know the layout the more Gil you'll save by not having to fast travel as much. Stick with it and it'll become more natural and manageable, good luck!