The point of travel in WHQ is to add some logic and roleplay. The heroes aren't just warping from dungeon to dungeon. They have a life besides questing (what's up with that?).
Dungeons aren't placed conveniently right next to towns, so after a completed dungeon they need to actually travel to the nearest town. Dungeon → Town → Dungeon → Town → Dungeon...
On the journey random stuff happens through rolls on a table.
Once they reach a city they can do almost everything you could normally do in a city. Trade, train, get drunk, rest and heal, visit a variety of specialist stores and services.
Random events also occur while in the city. You can also buy mules, carts and even property if you are wealthy enough.
if I recall correctly the only way to actually keep a hero and level up is to play the RP version. The alternative is just playing a single quest with fresh heroes.
Note: I haven't ever actually played the game, but the RP book is a great source of inspiration
