How would I go about doing this…
Long story short: Pan is a nature god, he has a deep spiritual connection to the Auktross (the world tree of Earth), which allows him to travel between Earth and Neverland. He collects souls, and so when he gets a soul, he steps into the astral plane and secures the soul to the connection [manifesting as a large coil] he has with the Auktross. This is how he holds all the souls before sending them to the afterlife or taking them with him to Neverland (depending on whether or not the soul has received Judgment or not)
Idk how to describe this….
Well, I think it depends on Pan's personality. Is he Disney or Greco-Roman? That could influence the actual aesthetic part of the "crossing-over." He could simply open a gate, walk through mist, disappear without a trace, all sorts of actual transitions. Hell, he could pull his cap down over his body like wearing a Bag of Holding, folding in on itself until it disappears. Then, I would imagine the realm around Auktross to be like a rainbow, watercolor mist that always seems to be comfortably cool.
Pan is a mix of the Disney/Barrie Peter Pan (mostly for setting and other characters), and the greek god Pan.
I like the watercolor mist, thank you!(: