Cathedral of Blue
For now, return to the Tower of Flame bonfire and backtrack to the central hall where there are three Old Knights waiting. Defeat them if you want then continue to the path to the left. Two more Old Knights will be waiting there so take them out then loot the corpse hanging by the broken staircase to the left. Obtain a Divine Blessing from it.
Continue upstairs and take out the Old Knight there. This will reveal a lever that you can operate to lower the drawbridge. Go up the drawbridge and loot the chest and corpse to the left to find an Old Radiant Lifegem and a Ring of Binding and Human Effigy x5 from the chest. The Ring of Binding is a very important item as it significantly reduces the HP reduction effects of Hollowing. Equip it immediately. Beyond the misty door is another boss. Make sure to prepare before entering.
Boss: Old Dragonslayer
This boss uses a spear and lunge attacks that can quickly close the distance even if you try to stay away from him. One good strategy is to keep close and keep circling around him, evading and counterattacking when he swings his spear. He also has a projectile attack and an AoE (area-of-effect) attack which you should avoid by staying away.
Timing your evasion can be tricky since the boss is fast as well. However, as long as you learn his stance, you'll be able to anticipate the following attack and how to react to it. Running out of stamina to evade is always bad news so don't get cocky and hit more than 3 times in a row, unless your stamina can accommodate it.
Defeating the Dragonslayer will give you 20,000 souls, Old Dragonslayer Soul and Old Leo Ring. Go through the next door and you'll find two chests. Loot them for Cracked Blue Orb x3, Heide Knight Iron Mask and Tower Shield in the next chest.
The NPC here is Targray of the Blue Sentinels. Bring him a Token of Fidelity and he'll allow you to join the covenant. This is obtained by helping another player defeat a boss as a phantom.
There's also a narrow staircase between the balcony where Targray is standing and the Old Dragonslayer rooms. Go downstairs to find the Cathedral of Blue bonfire. Light it up and use it to fast travel as necessary. Make your preperations to leave for No-man's Wharf.