Pechvarry, that makes a lot of sense. Hoid doesn't have to "teleport" anywhere because he exists within Shadesmar, aka the Cognitive Realm, aka the one thing that has been stated ties all of the worlds together. I'm definitely a fan of that theory, because it sort of fits in line with Brandon's way of writing and world building as well. Right now everyone is wondering "How can Hoid teleport to all of these worlds?" and Brandon probably loves the fact that everyone is asking the wrong questions.
Back on topic though, what does "I must" refer to? What must Wit/Hoid do? I can't remember. At this point, the "I'll do so" in the third sentence could refer to the "I must" or the "I hope to return" part of that passage. In either case, he will definitely be doing either of those things whether he is killed or not, and I read that sentence the second way. I'm not even sure there is more than one way to read that sentence, it seems a bit of stretch to try and interpret it that first way.