The final town in season 1 is the small, sleepy village of Ruse, at the base of Rukruos Peak in northern Dascillia. The town is heated by steam machines, and is the home to a few brave folk who can stand the winters.
Although this conjures up images of peace, what the group (a band made up of two mercenaries, two knights, and a bookworm at this point) is going to face in the morning is quite harsh. The song mostly is a way to quantify the stress and fear involved in what they must next do.