After leaving the city, it was only when the city was out of their view, because of all the tall trees, that the group took off flying.
There were several reasons why they did this. The first reason was obviously to check if they had any pursuits. The second reason was that if they flew off right after exiting the city, then this could have come under the attention of the guards, and they might have been forced to stop by the soldiers.
Even if the soldiers stopped them with just 1% doubt that these four might be the wanted criminals, then there was still a bit of a chance that they might be exposed. The group had a perfect disguise. To make sure they could blend in, each of them had a different role and a fake identity within the group. But it was still necessary to be careful rather than sorry later.
Not to mention, just walking would take them 4 to 7 days to reach the base of the Dragon Mountain range.
