[It’s a very reasonable question. No one can be hurt in his plane—well, not permanently, anyway—so the threat is not as looming in the same degree as the unexplored unknown. But there’s no point in trying to explain that to a newcomer, who treads upon uncertain ground with every step.]

Everything in this place revolves around will and intent. You want to leave, just focus inward and will yourself away.

[Maybe it sounds so simple that it’s esoteric, but there really is no better way to explain it. Alternately-]

Or come find me again. I led you here, and I can bring you back. [Hm, maybe a second introduction is in order.] My name’s Stephen Strange, by the way.