Pick it up as you go past and you’ll have it in your inventory.
When you’re zooming through the lava-filled underground, look for the Hell’s Retriever floating on top of some rocks in the middle of the river. As long as you’ve turned on the power by this point, you’ll be able to use the fast travel.
When all three Cerberus heads have been satiated, head to either the Warden’s House or the Showers.
