How do you get to Ultrax?
 

I've seen threads where people talk about warping to Ultrax, but I don't even know how to do that?

How do you get there? I need to get the sapphire egg...

There's a platform behind the building where you get the quest to go to Ultrax. It takes you to a portal but you can only go once. If you leave Ultrax without getting what you need then the quest will be a failure.