In Lost in a Good Book, it's established that Thursday's Uncle Mycroft traveled into the Sherlock Holmes series, probably via his Prose Portal.
“Item three: Interloper in the Sherlock Holmes series by the name of Mycroft—turns up quite unexpectedly in The Greek Interpreter and claims to be his brother. Anyone know anything about this?” I shrank lower, hoping that no one would have enough knowledge of my world to know we were related. Sly old Fox! So he had rebuilt the Prose Portal. I covered my mouth to hide a smile.
He is further mentioned in The Well of Lost Plots:
Uncle Mycroft had sought refuge in the Sherlock Holmes series to avoid [Goliath].
Then, in Something Rotten, it's mentioned he was rescued.
He had set up home in the Sherlock Holmes canon to escape Goliath but had remained stuck there until I rescued him about a year ago.
And yet, in Thursday Next: First Among Sequels, they still don't have a way into Sherlock Holmes.
".... Before bookjumping was developed, every character was marooned in his or her own novel. For many of the books outside the influence of the Council of Genres and Text Grand Central, it’s still like that. Pilgrim’s Progress and the Sherlock Holmes series are good examples. We know roughly where they are, due to the literary influence they exert on similar books, but we still haven’t figured out a way in. And until someone does, a bookjump is impossible.”
Was Mycroft's rescue covered in a short story or novella perhaps? I have only had access to the first five books, so I'll admit that I might be missing a flashback in a later book.