Recap of what we know, based on a recent re-read of Rhythm of War:
1. The Ghostbloods are looking for a way to transport Stormlight to other planets. Mraize also explains that the same Connection issues that prevent Stormlight from moving away from Roshar also apply to heavily-Invested people.
2. Thaidakar cannot leave Scadrial, likely because he is so heavily Invested and has such strong Connection to that planet.
3. Mraize says Kelek is working on a way to escape Roshar. He may have ideas on how a highly-Invested person might be able to move off planet.
4. The Ghostbloods are obsessed with Ba-Ado-Mishram.
5. Kelek believes the Ghostbloods were hunting him to get information about Ba-Ado-Mishram.
6. Ba-Ado-Mishram was Connected with the Singers, and putting Ba-Ado-Mishram in a gemstone ripped away Identity and Connection from them.
7. Ba-Ado-Mishram is trapped in a perfect gemstone. We don't know where Ba-Ado-Mishram's gemstone is, but Shallan is committed to finding it before the Ghostbloods
8. Rhythm of War hints that Shallan may soon become a worldhopper
If Ba-Ado-Mishram's imprisonment somehow affected her Connection with everyone's souls on Roshar, that could help Thaidakar sever his connection with Scadrial and allow him to move off-planet.
Theory time: I wonder if Ba-Ado-Mishram's gemstone has been moved off-planet and somehow the Ghostbloods found out about it happening, hence Thaidakar's obsession with finding her and interrogating Kelek. Given the implication of Shallan being ready to explore other worlds, I wonder if Shallan's mission in Wind and Truth will be a worldhopping adventure to track down Ba-Ado-Mishram before the Ghostbloods can get to her.
I can't wait for Wind and Truth! With the new Odium wanting to "save them all", El preparing to lead a human legion in a greater war, and Thaidakar aching to get off-world, there are going to be some major Cosmere-wide implications at the end of this Stormlight arc!