To craft yourself a furnace, you would need clay. Clay can be found in various places in the world. To obtain Clay, you must have unlocked the Tier 2 area. you could get clay sooner, but it’s not advised until you have the needed recipe to unlock the furnace in the first place. Without that, clay is nothing more than.. well, just clay.
If you however have all the requirements, I would advise you to teleport towards the RevelWood Teleport and use your glider to fly towards the North-West. If you like to play it safe, I would suggest making an altar at Fenrig’s farm. From there, all you need to do is find yourself a way to the mountains to the north. It might be a bit tricky to perform, but once you are on top, you will find yourself clay deposits.