Today it implies less danger, but to “sally forth” was originally a military term meaning to suddenly rush forward.
The Latin derivation of sally is salire, meaning “to leap.”
Castles and fortresses had closely guarded openings in the walls designed for mounting a quick counterattack against a siege.
These were called sally ports, from which the defenders would vigorously rush, or sally forth, into battle.
So “sally forth” means to go forward with a new venture.