Ok, first, the train station isn't visible until you take the train quests. Talk to the questgiver at the cathederal, he'll show you the boneyard station. Also, just start walking. If you don't have anything, you don't have anything to lose by dying in the wastes. Boneyard does have some starter quests though, like collecting junk or such, which are probably on the wiki. Most southern cities have one or two little quests.