Both Sarah and Leia were able to remember an old, ancient tower only a few hours away, and in a direction away from the catgirls.  It had been used as a watchtower somewhat recently by the city, though no one knew what it used to be before they started using it.  After the catgirl attacks however, those manning the tower were pulled back to the city, leaving it abandoned again.  While it would provide shelter, there likely weren't many supplies left behind.