Actually, you CAN leave the castle any time you want, and even get back to the Ragnarok. Just go down the chain thing, and you'll see some gates to the left. Press X to jump. You'll want to go through the one that goes to Esthar. Just keep going north east i think, and you will eventually find the Chocobo Holy Ground (it is hard to find). Get a chocobo and take it to centra (you can ride chocobos on shallow water). Pull up your map with select and the red, unmoving dot is the Ragnarok.

And yes, just equip good fire defense and you'll be just fine.