"Where we're going, we don't need roads..."
A road is nice since it gives a direction and landmarks to shift shadows, but there are plenty of times in the books where there were no roads. Walk through a town, add a little metal here and there, pass though an arch or under a bridge to add a ceiling, add the right stars, alter the people and their language as you go. You're not walking through the vacuum of space but along a metal grill that just happens to be where you want to go.
As for something like the Black Road, any corridor or cargo rail system is a path to travel, it's a chaos thing weaving in and out of shadow like a snake. From a native's perspective, travelers would fade in at one end, gain solidity, and fade out at the other.