I'm not sure what Bran's plan is now. From what I took from this episode, the White Walkers don't know where the southern Kingdoms are. Is that true in the books? I haven't read them but now I'm guessing the whole urgency of preparing for them was for the eventuality of them finding the rest of the world. Also, that dream sequence, was it just the past, or the future as well? He saw the dragon's fire stores ignite. Do they plan to blow up King's Landing?
White Walkers can't cross the Wall because it was built specifically against them by including Magic that prevents them crossing. So unless they find a way to tear it down/blow it up or find a way around it they are stuck for now (the show didn't make this very clear i think because with that huge undead horde they could just swarm the wall, break through the gates and overwhelm the pitiful few Night's Watch Defenders who have even been more depleted by the Wildling assaults).
I think they are looking for ways to breach the Wall which is why the Three Eyed Raven was a priority target and since he's gone it's Bran now, maybe they think his abilities will either aide them or his death gives them free reign and they can breah the Wall.
Either way i think they full well know what's beyond the Wall and they want to get there to kill all men.
Oh Dany. That is so going to blow up in your face.
There is no scenario where turning a Dothrakki horde loose on Westeros doesn't turn into a disaster. They're not the disciplined, tightly regimented and (most importantly) *unimaginative* solders that the Unsullied are.
They're called a horde for a reason. Difficult to control at the best of times, but whipped up into a religious fervour? Good luck. And that's just one Dothrakki horde. This is *all* of them at once. Best you can do is aim them in the general direction of your enemies and stand well back. That's even assuming they don't start taking the initiative, as fanatics are wont to do.
Best case scenario: they arrive just in time to get mowed down by the Winter King's undead army, then the dragons roast the lot of them before they get up again.
Dothraki aren't dumb, they can adapt or they'd be defeated very easily by a concerted effort of the Free Cities and a professional army. They are Martin's version of the Mongol Horde and in our history they came very close in defeating Europe that is the equivalent of Westeros with professional armies and Knights.
Dothraki respect strength and dtetermination which is why a small pink woman with white hair is now ruling them because she had the guts (and the magical power) to kill all Khals in a single action and that#s very much the Dothraki way ( walking out a burning building with no scratches also helps).
In addition she rides a huge, scaly, firebreathing mystical creature that could snap a man or horse in half without problems.
So she has the Dothraki under her thumb by exactly playing to their warlike, conquering nature. It doesn't matter that they don't have experience in Westeros combat tactics because their tactic, charging the enemy by the hundreds and thousands on horseback, is a viable tactic of their own and there's tens of thousands of them and they're very experienced and good in what they do.
So Dany has a shock element in her army with the Dothraki, she has professional soldiers with the Unsullied and the Second Sons who are adaptable and can deal with problems that a massed cavalry charge can't solve and on top of that she has 3 Dragons for psychological/terror warfare. I think she's set and has quite a good chance of taking Westeros, especially when all major power blocks have to deal with their own problems currently.
I'd wager the final battle will be with Dany's and Jon's forces (+ whatever Westeros factions won't be destroyed and submit under Dany's rule) against the White Walkers which will leave much of Westeros destroyed which would tie in with Martin's announcement that the end of the whole story will be bittersweet.