One of the first things that caught my attention when I read TWoK was this:
The idea that the Heralds actually had to travel somewhere to go back to Damnnation surprised me. This obviously isn't in a place that can be easily accessed, being so alien to the way Roshar is described. Obviously somewhere off-world or at least far away from the main Rosharan supercontinent. And we haven't heard any indication of the Heralds having to journey back to Damnation after the Desolations. It seems fairly clear to me that there has to be some other way to get to Damnation.
So, I think that the Heralds have access to Shadesmar and the knowledge of how to Worldhop. We know little of their abilities at this point, so it's at least plausible. It would certainly be useful in coordinating a worldwide defense against the Voidbringers. They can easily return to Damnation, be it on Roshar or elsewhere. Another point in favor is that, to Worldhop you go to Shadesmar. When Heralds die they automatically return, and we know that Shadesmar is where people seem to be going when they die, so that ties together quite nicely.
I wouldn't even be surprised if the Travel surge was based off a similar principle. I know this is kind of an insignificant, rinky-dink theory, but what do you guys think?