We see him climb the wall, but how did they come down? The same way they got up or are there any stairs belonging to the Night's Watch? If so, then why did the red-haired girl say "It's a long way up and a long way down" just in the prior episode?
From A Storm of Swords:
They had descended the south face of the Wall at Greyguard, abandoned for two hundred years. A section of the huge stone steps had collapsed a century before, but even so the descent was a good deal easier than the climb.
Greyguard being an abandoned castle of the Night's Watch, which would have stairs on the south side.