Dreams are the bright creatures of poem and legend, who sport on earth in the night season, and melt away in the first beam of the sun, which lights grim care and stern reality on their daily pilgrimage through the world.
There are no more uses of "pilgrimage" in the book.
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A pilgrimage to Mecca is one of the Five Pillars of Islam.
I promise to make a pilgrimage to the Virgin of Cobre if I catch him.