Board the Magdalena
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Leave the Temple of Set and run your party down to the bay area (near your haven). Follow the water to the right into the docks area and board the only ship there, the Magdalena. Once you're inside, you'll witness a couple of Nosferatu killing a couple of FBI agents, after which they will turn on you. Kill the Nosferatu and then talk with the injured agent. He will ask that you tell Agent Thorne to raid Allesandro Giovanni's warehouse to confiscate heroine and Prague contraband.

In order to pose as the dead agents once you reach New York (so that Agent Thorne actually believes your story), Lily will modify their IDs to look like that of your party. The rest of the trip is uneventful, except for some nightmares of Anezka that plague Christof.