to keep track of where you are, try using the map which will overlay aprt of your active screen - you can place markers on the map in your journal also to mark where you have been (and so you can retrace your steps to leave.
You get one pyramid when you open the entrance to the catacombs. you can use it at some point and it will take you to the second pyramid. After that, leave one pyramid in a safe resting place (an empty house with a bed would be a good idea), and carry the other one with you and use it to transport to your resting place. After resting return to the second pyramid, pick it up, and continue on.
Good luck and hang in there. The first part is the hardest.
