Sanctuary is located deep in the Old Cave found at Firmshaft. To reach it you must first have the Lantern found in the valley (located after searching the jungle). The lantern itself is obtained by exploring the valley until you find a special statue, and using a cock carv in the vagina.

To access Sanctuary you first fight 3 guardians: a Minotaur, a Strange little Girl, and a Succubus. They are much more powerful than most of the opponents in the game.