He's beginning to understand that she's picking up things without being told specifically, which means that he's less frustrated at not being able to say 'not exactly' in response to her question. There is a particular direction, but mostly he's heading for more light and safety and the rough area he stashed his clothes so he doesn't get stuck out in the city with a choice between fur or naked.

He sticks close to her, ears up and pivoting to pick up sounds of potential danger. More overtly protective in this form, too, though there's nothing unsafe, unsteady, or aggressive about him. He's intensely watchful, but that's about the extent of it. He likes this woman. He wants to have a conversation with her.

He's probably going to make that happen.

Which could be awkward, but it's not like he already knows her and it can serve as a test of sorts. For him - not her.