Upon recounting the close encounter with the dragon and narrowly escaping fiery destruction, both will request the Dragonborn report this harrowing news to the Jarl of the nearest city, Whiterun. For Ralof, this means meeting his sister, the town's mill owner, and for Hadvar, this means meeting his uncle, the town's blacksmith.
Once they've happened upon this sleepy village, they'll need to report to said companion's extended family (whether they're alongside us or not matters little).