Help with Campaign!

So I just introduced my group into Planescape from the Prime, and I was hoping to use that as just an introduction and then have the group make Planar characters so I could run Modron March and Dead Gods, but now they like their Prime manifestations and want to keep them! They're too high of a level to start out on MM, and I'd much rather have Planars go through that adventure.

I'm thinking of just doing "Doors to the Unknown" with these Primes, and then having the group make new characters once that's done, but does anyone have any other ideas?

The story so far: The characters are from my prime world of Oerth that you can find described in The Chant under a Primer on Primes (Not Greyhawk...I named this one before I knew about that being a published world ). We've got a Half-Orc Urban Ranger, a plane studying Ranger, a player who's playing a Cleric for the first time, a Fighter, a Paladin and a Planar Bleaker Bard (who's set up his iPod to play Tom Waits for all of his songs )

The 2 rangers, fighter and the cleric were all in the city of Brookwood when they heard that one of the students from the Academy had mysteriously disapeared. They had an investigation of her close friends and realized that she had been lost in a strange old house. They found the house, realized it was a student of Westram's and were sucked into a one-way portal to Baator.
There they found the Bleaker trying to suck some chant out of a Spinagon, who the Urban ranger speared. Leaving him for dead, they travelled across a river of blood to a crazy old witches house. The witch told them how to find the Pillar of Skulls. there, she said, they could find a portal out of the plane.
They found the Pillar, where the Paladin had been dropped off by a demon on his home plane. They tried to get the information about the portal, but all it tried to do was eat them. They had to travel back to the witch to find an answer to one of it's questions and then were given some mixed up info on where to go.
They decided to follow a path south where they passed Bel's fortress and were almost spotted by an army heading to the Blood War. The party had to steal a brick from the road to activate the portal which was about a mile away. They snuck in, took the brick, and were spotted by a patrol of red and black abashai. The party took to their heels and the Cleric was almost captured due to his slow speed. The Paladin, with his Boots of Striding and Springing came to his rescue. The half orc with the wooden leg also fell behind, but was aided by his wolf companion.
They made it to the portal, where they thought they could escape, but standing in front of it was a dark man. He invited them to step through, but only if they took an orb with them. The fighter insisted everyone else go through, and then planned to throw the orb back while still in Baator, but the abashai in disguise pushed him through to Sigil.
They appeared in the Market Ward, where the Bleaker ran off to return to the Madhouse, planning on finding them later.
The rest of the group stood there, covered in blood and smelling of sulfur when a small dirty halfling offered to be their tout. A bariaur followed soon after, displaying the three blue ring tattoo of the Touts (I forgot the name of the guild from the Planewalker Handbook...but I felt that title fit as good as any ) He offered his services and the party took him up on his offer.
They're currently staying in an hotel in the Lady's Ward where they've ordered some new Sigilian clothes, and they're researching how to get home.
The Bleaker's player is the one that lent me all the Planescape books in the first place and he's been trying to help me a bit. Right now we're thinking that the Bariaur has been clipping all of his charges, and I might have the party find that out. Then of course, he has to kill the party. He can't loose his position in that Guild due to the meddling of some Primes! Then the Bleaker steps in and saves the day.

But then what? Doors to the Unknown would give them something else to do, and also allude to the Modron March that would happen soon after...but does anyone else have any ideas? I want to keep my group happy

-pb-