Chrome promises not to make horrifying zombies anymore, again, so instead she decides to make horrifying puppets but first she needs some Magical Thread. If you help her out, she'll agree to join you on your quest. Frederika forces her way into the party too because she can't be away from Chrome.
- If you don't have access to the Informants Guild yet, bring Sonya to the Hooded Man in front of the tent near the Informants Guild and exhaust the dialogue. Return to the Guild, talk to the door keeper, warp back to Iliasville, talk to Lazarus, return to the Informants Guild.
2) After entering, talk to everyone in the building, one of them knows where the magical thread is.
3) Head west out of Monte Carlo and follow the coast till you reach Rubiana.
4) Enter and exit all the buildings there.
5) Head east from Rubiana, following the mountains until you reach the Seeker's Cave (Multiple Translations of Names).
6) Go through 1F and take the north exit to world map in the middle of the mountains.
7) Enter the Puppeteer's tower, watch the cutscene and then re-enter the Seeker's Cave.
8) Immediately west, are some stairs. Descend down the Seeker's Cave until you reach B3F and at the very end there will be three chests, a blue, a green, and a silver. The blue chest is magically sealed but it should open now.
9) Get the Magical Thread from the Blue Chest and return to Chrome.
Note: The Rubiana and Puppeteer's Tower steps may be skippable but I haven't checked yet. There have been reports of the quest being bugged at times but I don't know which version that is from or if there are fixes to it.