It means that you need organise your own transport from point A to B.
e.g. you live in Sydney, Australia and are doing the “Pakora, Paella and Pokemon” route.
Sydney > Delhi – make your own way – Mumbai > Madrid - make your own way – Paris > Tokyo > Sydney
You need to make your own way from Delhi to Mumbai and also from Madrid to Paris. You could get a train, bus, low-cost carrier flight or even cycle or walk if you want to! The choice is yours!