According to the walk-through, I'm supposed to go into and out of Kreug's room several times. It's also supposedly the way out of the temple. My problem is that the door I came through when I first encountered him is now locked. How do I get out of this place? Do I have to finish the whole temple first or can I return to town and come back?

You can also exit through the front door. Here's a link with a picture.