Bumblingbagel8 quoted a passage which says that Rickon went to a place with cannibalism. The best description of Skagos is in the following passage from AFfC:

The island sat at the mouth of the Bay of Seals, massive and mountainous, a stark and forbidding land peopled by savages. They lived in caves and grim mountain fastnesses, Sam had read, and rode great shaggy unicorns to war. Skagos meant “stone” in the Old Tongue. The Skagosi named themselves the stoneborn, but their fellow northmen called them Skaggs and liked them little. Only a hundred years ago Skagos had risen in rebellion. Their revolt had taken years to quell and claimed the life of the Lord of Winterfell and hundreds of his sworn swords. Some songs said the Skaggs were cannibals; supposedly their warriors ate the hearts and livers of the men they slew. In ancient days, the Skagosi had sailed to the nearby isle of Skane, seized its women, slaughtered its men, and ate them on a pebbled beach in a feast that lasted for a fortnight. Skane remained unpeopled to this day.

These two things together, I think, are strongly suggestive that they went to Skagos.