I decided to talk to a random guy in a tavern just before starting Chapter 5, and he gave me a mission to steal a skull. After completing this, I got put back into the city with no waypoint marker (which I had before starting the side mission). Any ideas where I go from here?
There are waypoint markers for all your active missions on the map, that you can access in the ingame menu (journal). To activate a mission marker to be displayed at all time in game, go to "view map", search for the starting point, move the cursor over the mission and choose "track objective".
Alternatively, you can go to the "objectives" tab in the journal and choose the option to track the objective from there.
There should be a marker to the starting point of Chapter 5 somewhere on the map. If you can't find it, here is a video with the starting points of all missions.