In the final episode of Season 1 in Legion, the Shadow King leaves David's body and finds another host in Oliver, then Oliver (possesed) leaves the facility in a car and get away.
Later, we are shown Oliver possesed by the Shadow King driving the car, leaving. With the following dialog:
Oliver: Where should we look first?
Shadow King (Lenny): Some place warm.
Here's a screenshot of the scene:
Then later (post-credits scene), David says:
They are headed south.
What exactly are they gonna look for?